backTAR {NTS}

Backtest for Univariate TAR Models

Description

Perform back-test of a univariate SETAR model.

Usage

backTAR(model, orig, h = 1, iter = 3000)

Arguments

model

SETAR model.

orig

forecast origin.

h

forecast horizon.

iter

number of iterations.

Value

backTAR returns a list of components:

model

SETAR model.

error

prediction errors.

State

predicted states.