Forecasting with univariate TAR models |
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Authors: | Fabio H. Nieto |
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Affiliation: | aUniversidad Nacional de Colombia, A.A. 72157 Bogotá, Colombia |
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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. |
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Keywords: | Forecasting Nonlinear time series Regime-switching models Predictive distributions Threshold-autoregressive models |
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