The UCM Procedure

PROC UCM Statement

PROC UCM <options> ;

The PROC UCM statement is required. The following options can be used in the PROC UCM statement:

DATA=SAS-data-set

specifies the name of the SAS data set containing the time series. If the DATA= option is not specified in the PROC UCM statement, the most recently created SAS data set is used.

NOPRINT

turns off all the printing for the procedure. The subsequent print options in the procedure are ignored.

PLOTS<(global-plot-options)> <= plot-request <(options)>>

PLOTS<(global-plot-options)> <= (plot-request <(options)> <... plot-request <(options)>>)>

controls the plots produced with ODS Graphics. When you specify only one plot request, you can omit the parentheses around the plot request.

Here are some examples:

plots=none
plots=all
plots=residuals(acf loess)
plots(noclm)=(smooth(decomp) residual(panel loess))

For general information about ODS Graphics, see Chapter 21, Statistical Graphics Using ODS (SAS/STAT User's Guide).

proc ucm;
   model y = x;
   irregular;
   level;
run;

proc ucm plots=all;
   model y = x;
   irregular;
   level;
run;

The first PROC UCM step does not specify the PLOTS= option, so the default plot that displays the series forecasts in the forecast region is produced. The PLOTS=ALL option in the second PROC UCM step produces all the plots that are appropriate for the specified model.

In addition to the PLOTS= option in the PROC UCM statement, you can request plots by using the PLOT= option in other statements of the UCM procedure. This way of requesting plots provides finer control over the plot production. If you do not specify any specific plot request, then PROC UCM produces the plot of series forecasts in the forecast horizon by default.

Global Plot Options:
The global-plot-options apply to all relevant plots generated by the UCM procedure. The following global-plot-option is supported:

NOCLM: suppresses the confidence limits in all the component and forecast plots.

Specific Plot Options:
The following list describes the specific plots and their options:

ALL

produces all plots appropriate for the particular analysis.

NONE

suppresses all plots.

FILTER (<filter-plot-options>)

produces time series plots of the filtered component estimates. The following filter-plot-options are available:

ALL: produces all the filtered component estimate plots appropriate for the particular analysis.
LEVEL: produces a time series plot of the filtered level component estimate, provided the model contains the level component.
SLOPE: produces a time series plot of the filtered slope component estimate, provided the model contains the slope component.
CYCLE: produces time series plots of the filtered cycle component estimates for all cycle components in the model, if there are any.
SEASON: produces time series plots of the filtered season component estimates for all seasonal components in the model, if there are any.
DECOMP: produces time series plots of the filtered estimates of the series decomposition.

RESIDUAL ( <residual-plot-options>)

produces the residuals plots. The following residual-plot-options are available:

ALL

produces all the residual diagnostics plots appropriate for the particular analysis.

ACF

produces the autocorrelation plot of residuals.

CUSUM

produces the plot of cumulative residuals against time.

CUSUMSQ

produces the plot of cumulative squared residuals against time.

HISTOGRAM

produces the histogram of residuals.

LOESS

produces a scatter plot of residuals against time, which has an overlaid loess-fit.

PACF

produces the partial-autocorrelation plot of residuals.

PANEL

produces a summary panel of the residual diagnostics consisting of the following:

histogram of residuals
normal quantile plot of residuals
the residual-autocorrelation-plot
the residual-partial-autocorrelation-plot

QQ

produces a normal quantile plot of residuals.

RESIDUAL

produces a needle plot of residuals against time.

WN

produces the plot of Ljung-Box white-noise test p-values at different lags (in log scale).

SMOOTH ( <smooth-plot-options>)

produces time series plots of the smoothed component estimates. The following smooth-plot-options are available:

ALL: produces all the smoothed component estimate plots appropriate for the particular analysis.
LEVEL: produces time series plot of the smoothed level component estimate, provided the model contains the level component.
SLOPE: produces time series plot of the smoothed slope component estimate, provided the model contains the slope component.
CYCLE: produces time series plots of the smoothed cycle component estimates for all cycle components in the model, if there are any.
SEASON: produces time series plots of the smoothed season component estimates for all season components in the model, if there are any.
DECOMP: produces time series plots of the smoothed estimates of the series decomposition.

PRINTALL

turns on all the printing options for the procedure. The subsequent NOPRINT options in the procedure are ignored.