There are a couple of possibilities for the cause.  The usual suspect for this kind of error is overspecifying the model.  Since &model resolves to a single target variable, I would suspect that the splinereg statements are causing the problem  Another is that the data are pathological in the sense that there are variable values that are not compatible with one or another when combined in the model.  As the Parameter Estimation section of the Details for PROC UCM says: "In most cases the difficulties in parameter estimation are associated with the specification of a model that is not appropriate for the series being modeled."   So let's assume that is taken care of, and you still get these kinds of errors.  Sometimes changing the optimization method will help, as will providing starting values.(although this is referred to in the Parameter Estimation section, I can't see right off how to do it).  The section Computational Issues also has a subsection on convergence issues and how to address them.   SteveDenham ... View more