The UCM Procedure

Functional Summary

The statements and options controlling the UCM procedure are summarized in the following table. 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 34.1: 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