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Dear All,

what can be gained by including state-space models (Sspace) in a model object (Sspace menu option: Proc: Make Model)?

I was hoping that several state-space models can thus be solved simultaneously, effectively linking them with other objects and identities. However, unlike with Equation or VAR objects, this does not seem to work, as including a Sspace object in a Model object and solving the lat-ter generates an error: "S1_0 is not defined", which is the state of the Sspace model.

I would greatly appreciate any ideas or examples on the intended functionality of Proc: Make Model in the case of Sspace.

skan

You are correct that it does not allow for solution of the model without prior specification of the underlying observed states and in that respect it is limiting. In a sense it is akin to embedding an equation object in a model without providing exogenous series.

In the event that one does generate values of the unobserved states, and then embeds the state space object in a model, one can solve the model without manually entering the specification, along with coefficients, into the model. That is the sense in which it is useful to allow embedding.