SAS/Ets User's Guide 175. Provides detailed reference material for using SAS/ETS software and guides you through the analysis and forecasting of features such as univariate and multivariate time series, cross-sectional time series, seasonal adjustments, multiequational nonlinear models, discrete choice models, limited dependent variable models, portfolio analysis, and generation of financial reports, with introductory and advanced examples for each procedure. You can also find complete information about two easy-to-use point-and-click applications: the Time Series Forecasting System, for automatic and interactive time series modeling and forecasting, and the Investment Analysis System, for time-value of money analysis of a variety of investments | 1732 F Chapter 26 The STATESPACE Procedure DIMMAX n specifies the upper limit to the dimension of the state vector. The DIMMAX option can be used to limit the size of the model selected. The default is DIMMAX 10. PASTMIN n specifies the minimum number of lags to include in the canonical correlation analysis. The default is PASTMIN 0. See the section Canonical Correlation Analysis Options on page 1731 for details. SIGCORR value specifies the multiplier of the degrees of freedom for the penalty term in the information criterion used to select the state space form. The default is SIGCORR 2. The larger the value of the SIGCORR option the smaller the state vector tends to be. Hence a large value causes a simpler model to be fit. See the section Canonical Correlation Analysis Options on page 1731 for details. State Space Model Estimation Options COVB prints the inverse of the observed information matrix for the parameter estimates. This matrix is an estimate of the covariance matrix for the parameter estimates. DETTOL value specifies the convergence criterion. The DETTOL and PARMTOL option values are used together to test for convergence of the estimation process. If during an iteration the relative change of the parameter estimates is less than the PARMTOL value and the relative change of the determinant of the innovation variance matrix is less than the DETTOL value then iteration ceases and the current estimates are accepted. The default is DETTOL 1E-5. ITPRINT prints the iterations during the estimation process. KLAG n sets an upper limit for the number of lags of the sample autocovariance matrix used in computing the approximate likelihood function. If the data have a strong moving average character a larger KLAG value might be necessary to obtain good estimates. The default is KLAG 15. See the section Parameter Estimation on page 1744 for details. MAXIT n sets an upper limit to the number of iterations in the maximum likelihood or conditional least squares .
