STATESPACE Procedure

OUTMODEL= Data Set

The OUTMODEL= data set contains the estimates of the bold upper F and bold upper G matrices and their standard errors, the names of the components of the state vector, and the estimates of the innovation covariance matrix. The variables contained in the OUTMODEL= data set are as follows:

  • the BY variables

  • STATEVEC, a character variable that contains the name of the component of the state vector corresponding to the observation. The STATEVEC variable has the value STD for standard deviations observations, which contain the standard errors for the estimates given in the preceding observation.

  • F_j, numeric variables that contain the columns of the bold upper F matrix. The variable F_j contains the jth column of bold upper F. The number of F_j variables is equal to the value of the DIMMAX= option. If the model is of smaller dimension, the extraneous variables are set to missing.

  • G_j, numeric variables that contain the columns of the bold upper G matrix. The variable G_j contains the jth column of bold upper G. The number of G_j variables is equal to r, the dimension of bold x Subscript t given by the number of variables in the VAR statement.

  • SIG_j, numeric variables that contain the columns of the innovation covariance matrix. The variable SIG_j contains the jth column of bold upper Sigma Subscript e e. There are r variables SIG_j.

Table 3 shows an example of the OUTMODEL= data set, with bold x Subscript t Baseline equals left-parenthesis x Subscript t Baseline comma y Subscript t Baseline right-parenthesis prime, bold z Subscript t Baseline equals left-parenthesis x Subscript t Baseline comma y Subscript t Baseline comma x Subscript t plus 1 vertical-bar t Baseline right-parenthesis prime, and DIMMAX=4. In Table 3, bold upper F Subscript i comma j and bold upper G Subscript i comma j are the (i, j) elements of bold upper F and bold upper G respectively. Note that all elements for F_4 are missing because bold upper F is a 3 times 3 matrix.

Table 3: Value in the OUTMODEL= Data Set

Obs STATEVEC F_1 F_2 F_3 F_4 G_1 G_2 SIG_1 SIG_2
1 X(T;T) 0 0 1 . 1 0 bold upper Sigma Subscript 1 comma 1 bold upper Sigma Subscript 1 comma 2
2 STD . . . . . . . .
3 Y(T;T) F Subscript 2 comma 1 F Subscript 2 comma 2 F Subscript 2 comma 3 . 0 1 bold upper Sigma Subscript 2 comma 1 bold upper Sigma Subscript 2 comma 2
4 STD std F Subscript 2 comma 1 std F Subscript 2 comma 2 std F Subscript 2 comma 3 . . . . .
5 X(T+1;T) F Subscript 3 comma 1 F Subscript 3 comma 2 F Subscript 3 comma 3 . G Subscript 3 comma 1 G Subscript 3 comma 2 . .
6 STD std F Subscript 3 comma 1 std F Subscript 3 comma 2 std F Subscript 3 comma 3 . std G Subscript 3 comma 1 std G Subscript 3 comma 2 . .


Last updated: June 19, 2025