Dear forum,
this is more of a question related to econometrics. When, for example, your goal is to
model/forecast weekly highs/weekly lows, when you run your regression on Tuesdays, you
already know that the model should not predict a weekly high below the Monday's high.
The Wednesday's prediction of the whole week's high should not be below
max(mondayHigh, tuesdayHigh). My questions is whether there is an econometric
tool/approach that is capable of estimating a model bearing this in mind. That is, I want
the estimated coefficients to take into account, that the forecasts should not be
below/above some value which changes over time (i.e. it is not a constant like e.g. zero
or something).
Many thanks,
Daniel