SMC Procedure
Functional Summary
The statements and options available in the SMC procedure are summarized in Table 1. The sections after the table provide a description of each statement in alphabetical order, following the PROC SMC statement.
Table 1: Functional Summary
| Description | Statement | Option |
|---|---|---|
| Input Data Table Options | ||
| Specifies the input data table | PROC SMC | DATA= |
| Specifies the input data table for model information | SCORE | INMODEL= |
| Output Data Table Options | ||
| Writes the model information to the specified output data set | SCORE | OUTMODEL= |
| Writes the evaluation estimates to the specified output data set | EVALUATE | OUT= |
| Writes the summary of the filtering estimates to the specified output data set | FILTER | OUT= |
| Writes the filtering estimates to the specified output data set | FILTER | OUTSIM= |
| Writes the summary of the forecasting estimates to the specified output data set | FORECAST | OUT= |
| Writes the forecasting estimates to the specified output data set | FORECAST | OUTSIM= |
| Writes the summary of the smoothing estimates to the specified output data set | SMOOTH | OUT= |
| Writes the smoothing estimates to the specified output data set | SMOOTH | OUTSIM= |
| SMC Common Options | ||
| Specifies the number of particles to use in the SMC algorithms | PROC SMC | NPARTICLE= |
| Specifies the random seed to use in the SMC algorithms | PROC SMC | SEED= |
| Variable and Parameter Declaration Options | ||
| Specifies the names and initial values of the model parameters | PARAMETERS | |
| Specifies the lower bounds of the model parameters | PARAMETERS | LOWER= |
| Specifies the upper bounds of the model parameters | PARAMETERS | UPPER= |
| Specifies the names of state variables | STATEVAR | |
| Specifies the names of dependent and independent (exogenous) variables | VAR | |
| Model Specification Options | ||
| Specifies the initialization distribution of the state variable | INITSTATE | |
| Specifies the proposal initialization distribution of the state variable | INITSTATE | PROPOSAL= |
| Specifies the transition distribution of the state variable | STATE | |
| Specifies the proposal transition distribution of the state variable | STATE | PROPOSAL= |
| Specifies the measurement distribution of the dependent variable | MODEL | |
| Specifies the auxiliary distribution of the dependent variable | AUXMODEL | |
| Specifies the name of the model of interest | SUBMITMODEL | NAME= |
| Specifies the number of parameters | SUBMITMODEL | NPARM= |
| Specifies the number of state variables | SUBMITMODEL | NSTATE= |
| Specifies the beginning of program statements | SUBMITMODEL | |
| Specifies the end of program statements | ENDSUBMIT | |
| ID Variables | ||
| Specifies the variable that identifies the time or sequence | ID | TIME= |
| Parameter Estimation Options | ||
| Specifies the prior distribution and range of the parameters | PRIOR | |
| Specifies the number of particles to use in the parameter estimation process | LEARN | NPARTICLE= |
| Specifies the particle filter algorithm to use in the parameter estimation process | LEARN | ALGORITHM= |
| Specifies the parameter estimation method and options | LEARN | METHOD=PMCMC |
| Inference Options | ||
| Specifies the particle filter algorithm to use to solve the evaluation problem | EVALUATE | ALGORITHM= |
| Specifies the number of particles to use in the evaluation process | EVALUATE | NPARTICLE= |
| Specifies the type of parameter values from the posterior distribution to use in the evaluation process | EVALUATE | PARM= |
| Specifies the particle filter algorithm to use to solve the filtering problem | FILTER | ALGORITHM= |
| Specifies the number of particles to use in the filtering process | FILTER | NPARTICLE= |
| Specifies the type of parameter values from the posterior distribution to use in the filtering process | FILTER | PARM= |
| Specifies the particle filter algorithm to use to get particles before the (multi-step) forecasts | FORECAST | ALGORITHM= |
| Specifies how many periods to forecast | FORECAST | LEAD= |
| Specifies the number of particles to use in the forecasting process | FORECAST | NPARTICLE= |
| Specifies the type of parameter values from the posterior distribution to use in the forecasting process | FORECAST | PARM= |
| Specifies that particles are to be resampled before forecasting | FORECAST | RESAMPLE |
| Specifies the particle filter algorithm to use in the smoothing process | SMOOTH | ALGORITHM= |
| Specifies the number of particles to use in the smoothing process | SMOOTH | NPARTICLE= |
| Specifies the smoothing method | SMOOTH | METHOD= |
| Specifies the type of parameter values from the posterior distribution to use in the smoothing process | SMOOTH | PARM= |
Last updated: July 09, 2026