Object Reference : Object View and Procedure Reference : Sspace
Generate signal series or signal standard error series from an estimated sspace object.
Options allow you to choose to generate one-step ahead and smoothed values for the signals and the signal standard errors.
name.makesignals(options) [name_spec]
Follow the object name with a period and the makesignal keyword, options to determine the output type, and a list of names or wildcard expression identifying the series to hold the output. If a list is used to identify the targets, the number of target series must match the number of states implied in the sspace. If any signal variable contain expressions, you may not use wildcard expressions in the destination names.
t=output_type (default=“pred”)
Defines output type: one-step ahead signal predictions (“pred”), RMSE of the one-step ahead signal predictions (“predse”, “residse”), error in one-step ahead signal predictions (“resid”), standardized one-step ahead prediction residual (“stdresid”), smoothed signals (“smooth”), RMSE of the smoothed signals (“smoothse”), estimate of the disturbances (“disturb”), RMSE of the estimate of the disturbances (“disturbse”), standardized estimate of the disturbances (“stddisturb”).
Name of group to hold newly created series.
Force the dialog to appear from within a program.
ss1.makesignals(t=smooth) sm*
produces smoothed signals in the series with names beginning with “sm”, and ending with the name of the signal dependent variable.
ss2.makesignals(t=pred, n=pred_sigs) sig1 sig2 sig3
creates a group named PRED_SIGS which contains the one-step ahead signal predictions in the series SIG1, SIG2, and SIG3.
See “State Space Models and the Kalman Filter” for details on state space models. For additional discussion of wildcards, see Appendix A. “Wildcards”.
See also Sspace::forecast, Sspace::makefilter, and Sspace::makestates.