These are only NOTEs and not ERRORs.  They arise because you are using o_city as a dummy index and O_CITY as a declared parameter.  Same story with d_city and D_CITY.  Because PROC OPTMODEL is case-insensitive, these look the same.  You can avoid the NOTEs by renaming one of them. ... View more

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 ... View more

You can use the skipfirst= and back= options in the ESTIMATE statement to control the span of measurements used for parameter estimation (ESTIMATION SPAN).  The (one-step-ahead) residual diagnostics (such as ACF and PACF plots) are based on the ESTIMATION span. Similarly the skipfirst= and back= options in the FORECAST statement control the span of measurements used for producing forecasts.  Miultistep-ahead-forecasts are produced based on the end of forecast span. I do not know R implementation of the UCM models and cannot comment.  I think the UCM doc is reasonably complete and explains the meaning of all component estimates (filtered and smoothed) as well as the residual diagnostics. ... View more

Hi RobPatt, Thank you a lot for your help! ... View more