Hello,
If you select "number of periods" you are setting the holdout option of the forecasting engine.
From documentation:
HOLDOUT= n
specifies the size of the holdout sample to be used for model selection. The holdout sample is a subset of actual time series ending at the last nonmissing observation. If the ACCUMULATE= option is specified, the holdout sample is based on the accumulated series. If the holdout sample is not specified, the full range of the actual time series is used for model selection. For each candidate model specified, the holdout sample is excluded from the initial model fit and forecasts are made within the holdout sample time range. Then, for each candidate model specified, the statistic of fit specified by the CRITERION= option is computed using only the observations in the holdout sample. Finally, the candidate model, which performs best in the holdout sample, based on this statistic, is selected to forecast the actual time series. The HOLDOUT= option is only used to select the best forecasting model from a list of candidate models. After the best model is selected, the full range of the actual time series is used for subsequent model fitting and forecasting. It is possible that one model will outperform another model in the holdout sample but perform less well when the entire range of the actual series is used. If MODEL=BESTALL and HOLDOUT= options are used together, the last one hundred observations are used to determine whether the series is intermittent. If the series determined not to be intermittent, holdout sample analysis will be used to select the smoothing model.
By selecting "2) maximum..." your are setting the HOLDOUTPCT option of the forecasting engine.
From documentation:
HOLDOUTPCT= number
specifies the size of the holdout sample as a percentage of the length of the time series. If HOLDOUT=5 and HOLDOUTPCT=10, the size of the holdout sample is where is the length of the time series with beginning and ending missing values removed. The default is 100 (100%).
With regards to your 2nd question: yes, UCM can be used to show the relationship between dependent and independent series. In fact, you will find that the output of UCM are easier to interpret than ARIMAX.
Regards,
Udo
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