DYNAMICLINEAR Procedure
Functional Summary
The statements and options available in the DYNAMICLINEAR procedure are summarized in Table 1.
Table 1: Functional Summary
| Description | Statement | Option |
|---|---|---|
| Input Data Table Options | ||
| Specifies the input data table | PROC DYNAMICLINEAR | DATA= |
| Specifies the initial values for all discount factors | DISCOUNTFACTOR | INDISCOUNTFACTOR= |
| Specifies the initial covariance values by using a row-oriented table | INITIALDISTRIBUTION | INCOVARIANCE= |
| Specifies the initial variance values (diagonal) for the initial distribution’s covariances | INITIALDISTRIBUTION | INCOVARIANCE(DIAGONAL)= |
| Specifies the initial values for the shape and rate parameters of the normal-gamma distribution | INITIALDISTRIBUTION | INGAMMA= |
| Specifies the initial values of means by using a column-oriented table | INITIALDISTRIBUTION | INMEAN= |
| Specifies the adjacency matrix of the parental sets | PARENTALSET | INADJACENCY= |
| Output Data Table Options | ||
| Specifies the table to use for validating the input discount factors | DISCOUNTFACTOR | OUTVERIFICATION= |
| Specifies the output table for the covariances of prior/naive posterior/posterior normal-gamma distributions | FILTER | COVARIANCE= |
| Specifies the output table for the shape and rate parameters of prior/naive posterior/posterior normal-gamma distributions | FILTER | GAMMA= |
| Specifies the output table for Kullback-Leibler divergence information in the decoupling step of updating the distribution from naive posterior to posterior | FILTER | KLDIVERGENCE= |
| Specifies the output table for raw random samples of precisions during forecasting/importance sampling | FILTER | LAMBDA= |
| Specifies the output table for the means of prior/naive posterior/posterior normal-gamma distributions | FILTER | MEAN= |
| Specifies the output table for raw random samples of observation errors during forecasting | FILTER | NU= |
| Writes in-sample forecasting results and statistics to an output table | FILTER | OUT= |
| Writes the covariances of samples of in-sample forecasting observations to an output table | FILTER | OUTCOVARIANCE= |
| Writes samples of in-sample forecasting observations to an output table | FILTER | OUTSIM= |
| Specifies the output table for raw random samples of state vectors during forecasting/importance sampling | FILTER | THETA= |
| Writes out-of-sample forecasting results and statistics to an output table | FORECAST | OUT= |
| Writes the covariances of samples of out-of-sample forecasting observations to an output table | FORECAST | OUTCOVARIANCE= |
| Writes samples of out-of-sample forecasting observations to an output table | FORECAST | OUTSIM= |
| Specifies the output table for the covariances of the initial distribution | INITIALDISTRIBUTION | COVARIANCE= |
| Specifies the output table for the shape and rate parameters of the initial distribution | INITIALDISTRIBUTION | GAMMA= |
| Specifies the output table for the means of the initial distribution | INITIALDISTRIBUTION | MEAN= |
| Specifies the output table to use for verifying the input adjacency matrices | PARENTALSET | OUTVERIFICATION= |
| Common Options | ||
| Specifies the number of simulations in filtering and forecasting | PROC DYNAMICLINEAR | NSIMULATIONS= |
| Specifies a nonnegative integer to use as the seed for generating random number sequences | PROC DYNAMICLINEAR | SEED= |
| ID Variable | ||
| Identifies observations in the input data table by specifying a variable for the time series data | ID | |
| Variable and Parameter Declaration Options | ||
| Specifies the model’s stochastic volatility discount factors | DISCOUNTFACTOR | BETA= |
| Specifies the model’s discount factors for regressors in the parental sets | DISCOUNTFACTOR | DELTAGAMMA= |
| Specifies the model’s discount factors for regressors not in the parental sets | DISCOUNTFACTOR | DELTAPHI= |
| Specifies the starting covariance settings for the initial distribution | INITIALDISTRIBUTION | COVARIANCE= |
| Specifies the default initial value for all means | INITIALDISTRIBUTION | MEAN= |
| Specifies the starting setting for the initial distribution’s rate parameter | INITIALDISTRIBUTION | RATE= |
| Specifies the starting setting for the initial distribution’s shape parameter | INITIALDISTRIBUTION | SHAPE= |
| Specifies the variables to use for the model | MODEL | |
| Inference Options | ||
| Specifies the number of observations before the end of the data at which the forecasts begin | FILTER | BACK= |
| Specifies the number of the multistep forecast values to compute during filtering | FILTER | LEAD= |
| Specifies which parameters of the naive posterior distribution to output | FILTER | NAIVEPOSTERIOR= |
| Specifies which filtering information to write to output tables | FILTER | OUTFILTERINFO= |
| Specifies which parameters of the posterior distribution to output | FILTER | POSTERIOR= |
| Specifies which raw random samples to output during forecasting | FILTER | PREDICTIONSAMPLE= |
| Specifies which parameters of the prior distribution to output | FILTER | PRIOR= |
| Specifies which raw random samples to output during the recoupling of importance sampling | FILTER | RECOUPLINGSAMPLE= |
| Specifies the number of the multistep forecast values to compute during forecasting | FORECAST | LEAD= |
| GPU Options | ||
| Specifies that the model perform calculations by using GPU hardware | GPU | |
| Specifies the computation precision that the model uses for calculations on GPU hardware | GPU | PRECISION= |
Last updated: July 09, 2026