/* If I use theta=.3 proc statespace picks AR(1), now with theta=.9

picks MA(1), notice that the F matrix is null when I write MA(1)

as State Space Model. I wrote the restrictions after the first run.*/

ods html;

ods graphics on;

data ma;

y1 = 0; a1 = 0;

do i = -50 to 100;

a = rannor( 32565 );

y = y1 + a - .9* a1;

if i > 0 then output;

a1 = a;

y = y1;

end;

run;

data ma1;

set ma;

t=_n_;

run;

proc statespace data=ma1 out=out lead=10;

var y ; id t;

restrict F(2,1)=0 F(2,2)=0;

run;

data out1;

set out;

t=_n_;

run;

proc print data=out1;

id t;

where t > 50;

run;

proc gplot data=out1;

plot for1*t=1 y*t=2 /

overlay href=200.5;

symbol1 v=circle i=join;

where t > 50;

run;

ods graphics off;

ods html close;