Article ID Journal Published Year Pages File Type
1151107 Statistical Methodology 2008 14 Pages PDF
Abstract

The forecasting stage in the analysis of a univariate threshold-autoregressive model, with exogenous threshold variable, has been developed in this paper via the computation of the so-called predictive distributions. The procedure permits one to forecast simultaneously the response and exogenous variables. An important issue in this work is the treatment of eventual missing observations present in the two time series before obtaining forecasts.

Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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