CSSM Procedure

The OBSINDEX statement specifies a numeric input data variable that, together with the ID variable, uniquely identifies the observations within a BY group. This statement is essential for the reproducibility of the computations in situations where there can be multiple observations in a given BY group that have the same ID value. These types of situations arise when you are analyzing panels of time series or when the data are longitudinal. For examples of using this statement, see the section Getting Started: CSSM Procedure, Example 14.7: A Dynamic Factor Model for the Yield Curve, Example 14.9: Variable Bandwidth Smoothing for Longitudinal Data, and Example 14.11: Dynamic Panel Model for the Cigar Data.