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Pruscha, H. (1996): Residual and forecast methods in time series models with covariates. Sonderforschungsbereich 386, Discussion Paper 33


We are dealing with time series which are measured on an arbitrary scale, e.g. on a categorical or ordinal scale, and which are recorded together with time varying covariates. The conditional expectations are modelled as a regression model, its parameters are estimated via likelihood- or quasi-likelihood-approach. Our main concern are diagnostic methods and forecasting procedures for such time series models. Diagnostics are based on (partial) residual measures as well as on (partial) residual variables; l-step predictors are gained by an approximation formula for conditional expectations. The various methods proposed are illustrated by two different data sets.