02-03-2016 09:22 AM
You can use the OUTFOR= option in the FORECAST statement. The table contains the "STD" column which stores the standard error of prediction. Is that what you want?
You can also refer to the online help doc of UCM procedure:
02-08-2016 02:06 AM
Thank you for your reply. I require some common diagnostic statistics such as (Predicted error variance
the one step ahead prediction errors, the normality statistic based on the third and fourth moments, heteroscedasticity statistic based on the ratio of the sample for the first one third of the prediction errors, the Box-Ljung serial correlation statistics, Durbin Watson) I have looked into the outfor=option but could not get these statistics (though I was able to get several diagnostic graphs).
02-08-2016 10:25 AM
Use ODS table options to trieve more statistics. For example, the following statements can provide you the one step ahead prediction errors, the normality statistic.
ods output FitStatistics = fitstat;
ods output FitSummary = fits;
More info on ODS output tables please check