ABSTRACT
Modelling is more an artisan type of work rather than an exact science. Thus, the more you do it, the better you get. In this chapter I try to share the reasoning and the techniques I use when building UCM and selecting the best one for a given aim. You may find better ways to do it while working on real time series, but I hope this chapter can save you time, especially if you are new to applied time series modelling.
