State Space Modeling Using SAS

Rajesh Selukar

Journal of Statistical Software, 2011, vol. 041, issue i12

Abstract: This article provides a brief introduction to the state space modeling capabilities in SAS, a well-known statistical software system. SAS provides state space modeling in a few different settings. SAS/ETS, the econometric and time series analysis module of the SAS system, contains many procedures that use state space models to analyze univariate and multivariate time series data. In addition, SAS/IML, an interactive matrix language in the SAS system, provides Kalman filtering and smoothing routines for stationary and nonstationary state space models. SAS/IML also provides support for linear algebra and nonlinear function optimization, which makes it a convenient environment for general-purpose state space modeling.

Date: 2011-05-12
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:jss:jstsof:v:041:i12

DOI: 10.18637/jss.v041.i12

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