Summary: The formulation of unobserved components models raises some relevant interpretative issues, owing to the existence of alternative observationally equivalent specifications, differing for the timing of the disturbances and their covariance matrix. We illustrate them with reference to unobserved components models with \(\text{ARMA}(m,m)\) reduced form, performing the decomposition of the series into an \(\text{ARMA}(m,q)\) signal, \(q \leq m\) and a noise component. We provide a characterization of the set of covariance structures that are observationally equivalent, when the models are formulated both in the future and the contemporaneous forms. Hence, we show that, while the point predictions and the contemporaneous real time estimates are invariant to the specification of the disturbances covariance matrix, the reliability cannot be identified, except for special cases requiring \(q<m-1\).