/*Simulation and the statespace procedure by IML*/

ods html;

proc iml;

sig = {1.0 0.5, 0.5 1.25};

phi = {1.2 -0.5, 0.6 0.3};

/* simulate the vector time series */

call varmasim(y,phi) sigma = sig n = 100 seed = 34657;

cn = {'y1' 'y2'};

create simul1 from y[colname=cn];

append from y;

quit;

data simul2;

set simul1;

date = intnx( 'year', '01jan1900'd, _n_-1 );

format date year4.;

proc gplot data=simul2;

symbol1 v = none i = join l = 1;

symbol2 v = none i = join l = 2;

plot y1 * date = 1

y2 * date = 2 / overlay;

run;

proc statespace data=simul2 cancorr;

var y1 y2;

id date ;

run;

ods html close;