The UCM Procedure

Functional Summary

The statements and options controlling the UCM procedure are summarized in Table 41.1. Most commonly needed scenarios are listed; see the individual statements for additional details. You can use the PRINT= and PLOT= options in the individual component statements for printing and plotting the corresponding component forecasts.

Table 41.1: Functional Summary

Description	Statement	Option
Data Set Options
Specify the input data set	PROC UCM	DATA=
Write parameter estimates to an output data set	ESTIMATE	OUTEST=
Write series and component forecasts to an output data set	FORECAST	OUTFOR=
Model Specification
Specify the dependent variable and simple predictors	MODEL
Specify predictors with time-varying coefficients	RANDOMREG
Specify a nonlinear predictor	SPLINEREG
Specify the irregular component	IRREGULAR
Specify the random walk trend	LEVEL
Specify the locally linear trend	LEVEL and SLOPE
Specify a cycle component	CYCLE
Specify a dummy seasonal component	SEASON	TYPE=DUMMY
Specify a trigonometric seasonal component	SEASON	TYPE=TRIG
Drop some harmonics from a trigonometric seasonal component	SEASON	DROPH=
Specify a list of harmonics to keep in a trigonometric seasonal component	SEASON	KEEPH=
Specify a spline-season component	SPLINESEASON
Specify a block-season component	BLOCKSEASON
Specify an autoreg component	AUTOREG
Specify the lags of the dependent variable	DEPLAG
Controlling the Likelihood Optimization Process
Request optimization of the profile likelihood	ESTIMATE	PROFILE
Request optimization of the usual likelihood	ESTIMATE	NOPROFILE
Specify the optimization technique	NLOPTIONS	TECH=
Limit the number of iterations	NLOPTIONS	MAXITER=
Outlier Detection
Turn on the search for additive outliers		Default
Turn on the search for level shifts	LEVEL	CHECKBREAK
Specify the significance level for outlier tests	OUTLIER	ALPHA=
Limit the number of outliers	OUTLIER	MAXNUM=
Limit the number of outliers to a percentage of the series length	OUTLIER	MAXPCT=
Controlling the Series Span
Exclude some initial observations from analysis during the parameter estimation	ESTIMATE	SKIPFIRST=
Exclude some observations at the end from analysis during the parameter estimation	ESTIMATE	BACK=
Exclude some initial observations from analysis during forecasting	FORECAST	SKIPFIRST=
Exclude some observations at the end from analysis during forecasting	FORECAST	BACK=
Graphical Residual Analysis
Get a panel of plots consisting of residual autocorrelation plots and residual normality plots	ESTIMATE	PLOT=PANEL
Get the residual CUSUM plot	ESTIMATE	PLOT=CUSUM
Get the residual cumulative sum of squares plot	ESTIMATE	PLOT=CUSUMSQ
Get a plot of p-values for the portmanteau white noise test	ESTIMATE	PLOT=WN
Get a time series plot of residuals with overlaid loess smoother	ESTIMATE	PLOT=LOESS
Series Decomposition and Forecasting
Specify the number of periods to forecast in the future	FORECAST	LEAD=
Specify the significance level of the forecast confidence interval	FORECAST	ALPHA=
Request printing of smoothed series decomposition	FORECAST	PRINT=DECOMP
Request printing of one-step-ahead and multistep-ahead forecasts	FORECAST	PRINT=FORECASTS
Request plotting of smoothed series decomposition	FORECAST	PLOT=DECOMP
Request plotting of one-step-ahead and multistep-ahead forecasts	FORECAST	PLOT=FORECASTS
Request bootstrap standard errors	FORECAST	BOOTSTRAP
BY Groups
Specify BY-group processing	BY
Global Printing and Plotting Options
Turn off all the printing for the procedure	PROC UCM	NOPRINT
Turn on all the printing options for the procedure	PROC UCM	PRINTALL
Turn off all the plotting for the procedure	PROC UCM	PLOTS=NONE
Turn on all the plotting options for the procedure	PROC UCM	PLOTS=ALL
Turn on a variety of plotting options for the procedure	PROC UCM	PLOTS=
ID
Specify a variable that provides the time index for the series values	ID