A colleague sent me the following information regarding this question: Actually the documentation does mention that a time-varying measurement matrix, H_t, is permitted.  All you need to do is provide H_t that is a ((T+lead)*N_y) times N_z matrix where, T is the number of time points, lead is the forecast lead, N_y is the dimension of the observation vector, and  N_z is the dimension of the state vector.   For example, in the user’s notation, if the observations  are univariate, the rows of H_t matrix will be [1 M_t], t=1 …(T +lead).    By the way, as a side note, mention to the user the new state space modeling procedure, SSM, in 9.3 (its doc is at http://support.sas.com/documentation/cdl/en/etsug/63939/HTML/default/viewer.htm#etsug_ssm_sect006.htm ). ... View more