DYNAMICLINEAR Procedure

DISCOUNTFACTOR Statement

DISCOUNTFACTOR <options>;

The DISCOUNTFACTOR statement specifies parameters of discount factors. For more information, see the section Discount Factors in Dynamic Linear Models.

You can use one of the following methods to specify the discount factors:

Default value: If you do not specify a value, a system-defined default value is applied to all variables.
Position-value number-list pair: You can provide a list in which each pair consists of a variable’s position in the variables, followed by the desired discount factor.
INDISCOUNTFACTOR= option: You can assign parameters directly through an input data table that you specify in the INDISCOUNTFACTOR= option.

When you use multiple methods to specify the discount factors, they are applied in the preceding sequence: first, the default value is applied; then, any specified position-value number-list pairs override the default; and finally, any values that are provided in the input table supersede previous specifications.

You can specify the following options:

BETA=(suboptions)

specifies the volatility discount factor, which is applicable to all variables (series) that you specify in the MODEL statement. The values of discount factors must be between 0 and 1, exclusive.

You can specify the following suboptions:

DEFAULT=number DEF=number: specifies the default BETA= option value for all variables in the MODEL statement. By default, DEFAULT=0.95.
POSITIONS=(number-list) POS=(number-list): designates the positions of the variables for which values differ from the default. Every number in the number-list must be a positive integer.
VALUES=(number-list) VAL=(number-list): specifies values that correspond to the POSITIONS= option list values. Every number in the number-list must be between 0 and 1, exclusive.

DELTAGAMMA=(suboptions)

specifies the discount factor for regressors (the independent or exogenous variables) that are in the parental sets.

You can specify the following suboptions:

DEFAULT=number DEF=number: specifies the default DELTAGAMMA= option value for all variables in the MODEL statement. By default, DEFAULT=0.995.
POSITIONS=(number-list) POS=(number-list): designates the positions of the variables for which values differ from the default. Every number in the number-list must be a positive integer.
VALUES=(number-list) VAL=(number-list): specifies values that correspond to the POSITIONS= option list values. Every number in the number-list must be between 0 and 1, exclusive.

DELTAPHI=(suboptions)

specifies the model’s discount factors for regressors (the independent or exogenous variables) that are not in the parental sets.

You can specify the following suboptions:

DEFAULT=number DEF=number: specifies the default DELTAPHI= option value for all variables in the MODEL statement. By default, DEFAULT=0.995.
POSITIONS=(number-list) POS=(number-list): designates the positions of the variables for which values differ from the default. Every number in the number-list must be a positive integer.
VALUES=(number-list) VAL=(number-list): specifies values that correspond to the POSITIONS= option list values. Every number in the number-list must be between 0 and 1, exclusive.

INDISCOUNTFACTOR=libref.data-table INDF=libref.data-table

specifies the input data table for discount factors. libref.data-table is a two-level name, where libref refers to the library, and data-table specifies the name of the input data table. For more information about this two-level name, see the DATA= option and the section Using CAS Sessions and CAS Engine Librefs.

When you use this option to specify discount factors, the input data table must adhere to specific format requirements. For more information, see the section INDISCOUNTFACTOR= Data Table in the DISCOUNTFACTOR Statement.

OUTVERIFICATION=libref.data-table OUTVERIFY=libref.data-table

specifies the table to use for validating input discount factors. libref.data-table is a two-level name, where libref refers to the library, and data-table specifies the name of the output data table. For more information about this two-level name, see the DATA= option and the section Using CAS Sessions and CAS Engine Librefs.

Last updated: July 09, 2026