SSM Procedure

prints an alternate form of the break summary tables when the CHECKBREAK option is used in the STATE or TREND statement or when the MAXSHOCK option is used in the OUTPUT statement. In this alternate form, the summary tables report the significant peaks of the shock statistics curves; see Example 33.8 for examples of these curves.

specifies the name of the SAS data set that contains the variables needed for the analysis. If you do not specify this option, PROC SSM uses the most recently created SAS data set.

specifies the type of likelihood to use for parameter estimation. You can specify the following values:

By default, LIKE=DIFFUSE. For more information about different likelihood types, see the section Likelihood Computation and Model-Fitting Phase.

turns off all the printing and plotting for the procedure. Any subsequent print options are ignored.

controls the plots produced with ODS Graphics. When you specify only one plot-request, you can omit the parentheses around it. Here are some examples:

plots=none
plots=all
plots=residual
plots=residual(normal)
plots=(maxshock residual(normal))
plots(unpack)=residual

If you do not specify any specific plot-request, then by default PROC SSM produces the plot of standardized residuals against time. For general information about ODS Graphics, see Chapter 24, Statistical Graphics Using ODS (SAS/STAT User's Guide).

Global Plot OptionsThe global-plot-options apply to all relevant plots generated by the SSM procedure. The following global-plot-option is supported:

Specific Plot OptionsThe following list describes the specific plot-requests and their options:

For more information about the precise meaning of the terms maximal state shock statistics and prediction errors, see the section Delete-One Cross Validation and Structural Breaks.

turns on all the printing options for the procedure. All subsequent NOPRINT options in the procedure are ignored.

prints two tables that provide information about the composition of the state vector in terms of the components specified in the model. One table describes the composition of state , and the other table describes the diffuse vector and the regressors, which are part of the initial condition specification . For more information about the state space model notation, see the section State Space Model and Notation.

specifies options that are associated with the optimizer used in the maximum likelihood parameter estimation. The default settings of the optimization process are adequate in most problems. However, in some cases it might be useful to change the optimization technique or to change the maximum number of iterations. You can specify one of the following techniques:

The default technique is TRUREG. The INTERIORPOINT and ACTIVESET techniques are documented in Chapter 10, The Nonlinear Programming Solver (SAS/OR User's Guide: Mathematical Programming), and the remaining techniques are documented in Chapter 6, Nonlinear Optimization Methods. You can alter the maximum number of iterations setting in the nonlinear optimization search by specifying a nonnegative integer as the MAXITER= value.

enables the exploitation of the sparsity of the matrices in the observation equation during the modeling calculations (see the section State Space Model and Notation for further information). The use of this option can improve the computational efficiency of models that have a large state dimension and sparse matrices—that is, many of their elements are zero. You should use the ZSPARSE option only when the state dimension is sufficiently large (at least 30) and a good percentage (at least 50%) of entries are zero; otherwise, the computational efficiency can in fact degrade. For example, the illustration that is discussed in the section Getting Started: SSM Procedure is a good candidate for the use of the ZSPARSE option:

 proc ssm data=Cigar plots=residual zsparse;