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What’s New in SAS/ETS

UCM Procedure

The following features are new to the UCM procedure:

  • The new RANDOMREG statement enables specification of regressors with time-varying regression coefficients. The coefficients are assumed to follow independent random walks. Multiple RANDOMREG statements can be specified, and each statement can specify multiple regressors. The regression coefficient random walks for regressors specified in the same RANDOMREG statement are assumed to have the same disturbance variance parameter. This arrangement enables a very flexible specification of regressors with time-varying coefficients.

  • The new SPLINEREG statement enables specification of a spline regressor that can optionally have time-varying coefficients. The spline specification is useful when the series being forecast depends on a regressor in a nonlinear fashion.

  • The new SPLINESEASON statement enables parsimonious modeling of long and complex seasonal patterns using the spline approximation.

  • The SEASON statement now has options that enable complete control over the constituent harmonics that make up the trigonometric seasonal model.

  • It is now easy to obtain diagnostic test statistics useful for detecting structural breaks such as additive outliers and level shifts.

  • As an experimental feature, you can now model the irregular component as an autoregressive moving-average (ARMA) process.

  • The memory management and numerical efficiency of the underlying algorithms have been improved.

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