UCM Procedure
Functional Summary
The statements and options controlling the UCM procedure are summarized in Table 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 1: Functional Summary
| Description | Statement | Option |
|---|---|---|
| Data Set Options | ||
| Specify the input SAS table | PROC UCM | DATA= |
| Write parameter estimates to an output SAS table | ESTIMATE | OUTEST= |
| Write series and component forecasts to an output SAS table | 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 | |
| Specify a transfer function component | TF | |
| 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= |
| Prints smoothed series decomposition | FORECAST | PRINT=DECOMP |
| Prints one-step-ahead and multistep-ahead forecasts | FORECAST | PRINT=FORECASTS |
| Prints smoothed series decomposition | FORECAST | PLOT=DECOMP |
| Plots one-step-ahead and multistep-ahead forecasts | FORECAST | PLOT=FORECASTS |
| 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 | |
Last updated: July 09, 2026