Help needed for UCM

[YH]

Hi All,

I am new to SAS. I am starting to learn and apply proc UCM, and have a couple questions about it.

Could you help me understand how can I get the numerical fitted values on the training set (or on the historical record)? For example, if n0 and n1 are the first and last value of actual observation in the historical record separately, how can I get the numerical fitted values after estimation? Are those values stored under "S_NOIRREG" after using OUTFOR?

I am also confused by the ACF and PACF plots generated by SAS. Do they reflect ACF and PACF of predicted errors on the "Out of sample set" (or test set)? I re-plot the "Residuals" column by R, but found that they are not the same.....

Could you help me to understand these? I appreciate your help so much!

Best regards,

YH

[SteveDenham]

I would suggest cross posting this to the Econometrics and Forecasting forum, where the folks who follow the forum will have greater exposure to PROC UCM.

Steve Denham