UCM Procedure

PROC UCM uses the nonlinear optimization (NLO) subsystem to perform the nonlinear optimization of the likelihood function during the estimation of model parameters. You can use the NLOPTIONS statement to control different aspects of this optimization process. For most problems, the default settings of the optimization process are adequate. However, in some cases it might be useful to change the optimization technique or to change the maximum number of iterations. You can do this as follows by using the TECH= and MAXITER= options in the NLOPTIONS statement:

   nloptions tech=dbldog maxiter=200;

This statement sets the maximum number of iterations to 200 and changes the optimization technique to DBLDOG rather than the default technique, TRUREG, that PROC UCM uses. For more information about the options that you can specify in the NLOPTIONS statement, see Chapter 6, Nonlinear Optimization Methods (SAS/ETS User's Guide). In this version of PROC UCM, the user can specify only the TECH= and MAXITER= options; all other options remain at their default settings.