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Univariate Transfer Function Forecasting

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V.II.4 Univariate Transfer Function Forecasting

The general forecast function of an ARIMA model can be quite easily expanded for TF(r,s,b) models. Note however, that a forecast depends on the (future) behavior of the exogenous variables. It is therefore imperative to have good predictions of the exogenous variable(s) and/or interventions.

Sometimes it is possible to find "leading indicators" (i.e. input variables with b larger than zero). In that case it is straightforward to find a b-step ahead forecast, without prior knowledge of the future behavior of exogenous variables.

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