Time Series - Automatic inclusion of dummy according to residuals analysis

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statsforecast
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Joined: Wed Feb 28, 2018 8:02 pm

Time Series - Automatic inclusion of dummy according to residuals analysis

Postby statsforecast » Fri Mar 09, 2018 2:37 pm

Hi,

I am trying to write a program that after estimating an equation (or rather a batch of equations), looks at the residuals and if the last data point is outside the bands of the residuals graph, put a dummy in the equation with the date associated with that observation. For example, since I have monthly data, a dummy of the type: @event("2018.02") for the last month of data.

Perhaps accessing the residuals table: eqname.resids(t)?
I just don't know how to access the elements of that table in order to write a IF statement or something similar.

Thank you in advance for any help that you can provide.

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