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Univariate Transfer Function Checking

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V.II.3 Univariate Transfer Function Checking

The same checking procedures as for univariate ARIMA models should be employed in checking TF(r,s,b) models for any inadequacy.

Additionally, one could use the CCF, and PCCF in order to check whether the estimated residual series can still be explained by the input series (this, of course, would indicate a model inadequacy).

Moreover, a simulation of the output series, according to some (simulated) shocks in the input series, should provide valuable information about the model's performance. Note, that the interpolation performance should always be better than with an ARIMA model. An out-of-sample forecast is an even better way of determining the (extrapolation) performance of the TF(r,s,b) model, compared to the univariate stochastic model.

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