SSM Procedure

After the model-fitting phase, the filtering process is repeated again to produce the model-based one-step-ahead response variable forecasts (), residuals (), and their standard errors (). In addition, one-step-ahead forecasts of the components that are specified in the MODEL statements, and any other user-defined linear combinations of , are also produced. These forecasts are set to missing as long as the index (that is, until the filtering process is initialized). If the filtering process remains uninitialized, then all the quantities that are related to the one-step-ahead forecast (such as and ) are reported as missing. When the fitted model is appropriate, the one-step-ahead residuals form a sequence of uncorrelated normal variates. This fact can be used during model diagnostic process.