ARIMA does not have a BACK= option in the ESTIMATE statement.  Therefore, the parameter estimation uses all the available data.  The BACK= option in the FORECAST statement withholds the specified number of observations from the end of the data (that is, these observations are not used in forecasting calculations).  It is easier to explain this with an example:  data d1;    set sashelp.air;    logair=log(air); run; proc arima data==d1;    i var=logair(1 12) noprint;    e q=(1)(12) noint method=ml;    f back=12 lead=24;    f lead=24; quit; proc ucm data=d1;    model logair;    irregular q=1 sq=1 s=12;    deplag lags=(1)(12) phi=1 1 noest;    estimate;    forecast back=12 lead=24; run; The ARIMA forecast output for the first forecast statement (with back=12) should be essentially the same as the UCM forecast output (with back=12 in the forecast statement).  In ARIMA, the second forecast statement uses all the 144 measurements, whereas the first forecast statement uses the first 132 measurements. Hope this helps. ... View more