The use of non-linear models in time series analysis has expanded rapidly in the last ten years, with the development of several useful classes of discrete-time non-linear models. One family of processes which has been found valuable is the class of self-exciting threshold autoregressive (SETAR) models discussed extensively in the books of Tong (1983, 1990). In this paper we consider problems of modelling and forecasting with continuous-time threshold autoregressive (CTAR) …