Eninna - I see two questions in your post. One question is what PCS/GCS should you use and Melita has answered that. Your other question was about some of the statewide data you have being all in UTM Zone 4. You're asking can that be correct since the main 8 Hawaiian island span both UTM Zone 4 and UTM Zone 5. The answer is yes, and here's why. Many years ago, before map services, when most data was downloaded, the State of Hawaii GIS Program decided to use UTM Zone 4 for their published data. This made it simpler as there was a single file that would cover the entire State. Otherwise, you end up with most of the State and a small piece of Big Island in UTM Zone 4 and a small piece of Maui and most of Big Island in UTM Zone 5. Mathematically the data can be re-projected as needed as long as it is documented so the end user knows. Here's a quick reference we put together a few years back for Hawaii: Royce
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