Can a SETAR model be applied to a non-stationary series or is the only requirement to check for non-linearity? I can generate one-step ahead rolling forecasts using threshtest.src to estimate the break and to generate forecasts within a DO loop.

- Code: Select all
`set onestep = setar(t)`

group lsetarmodel setar

forecast(model=lsetarmodel,results=fcasts) * 1 ibegin+1+j

How do I generate multi-step-ahead rolling forecasts saving only the last forecast step as in FORECAST instruction SKIPSAVE? https://estima.com/ratshelp/index.html? ... ction.html

many thanks,

Amarjit