Bootstrap prediction intervals for autoregressions: some alternatives
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Bibliographic InfoArticle provided by Elsevier in its journal International Journal of Forecasting.
Volume (Year): 14 (1998)
Issue (Month): 4 (December)
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Web page: http://www.elsevier.com/locate/ijforecast
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Veall, Michael R, 1987. "Bootstrapping the Probability Distribution of Peak Electricity Demand," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 28(1), pages 203-12, February.
- Masarotto, Guido, 1990. "Bootstrap prediction intervals for autoregressions," International Journal of Forecasting, Elsevier, vol. 6(2), pages 229-239, July.
- Giordano, Francesco & La Rocca, Michele & Perna, Cira, 2007. "Forecasting nonlinear time series with neural network sieve bootstrap," Computational Statistics & Data Analysis, Elsevier, vol. 51(8), pages 3871-3884, May.
- Helmut Luetkepohl, 2007. "Econometric Analysis with Vector Autoregressive Models," Economics Working Papers ECO2007/11, European University Institute.
- Li, Jing, 2011. "Bootstrap prediction intervals for SETAR models," International Journal of Forecasting, Elsevier, vol. 27(2), pages 320-332, April.
- Pascual, Lorenzo & Romo, Juan & Ruiz, Esther, 2001. "Effects of parameter estimation on prediction densities: a bootstrap approach," International Journal of Forecasting, Elsevier, vol. 17(1), pages 83-103.
- De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.
- Helmut Luetkepohl, 2009.
"Forecasting Aggregated Time Series Variables: A Survey,"
Economics Working Papers
ECO2009/17, European University Institute.
- Helmut Lütkepohl, 2010. "Forecasting Aggregated Time Series Variables: A Survey," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing,CIRET, vol. 2010(2), pages 1-26.
- Jan G. de Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Tinbergen Institute Discussion Papers 05-068/4, Tinbergen Institute.
- Clements, Michael P. & Kim, Jae H., 2007. "Bootstrap prediction intervals for autoregressive time series," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3580-3594, April.
- Kim, Jae H., 2004. "Bootstrap prediction intervals for autoregression using asymptotically mean-unbiased estimators," International Journal of Forecasting, Elsevier, vol. 20(1), pages 85-97.
- Helmut Luetkepohl, 2011. "Vector Autoregressive Models," Economics Working Papers ECO2011/30, European University Institute.
- Jing, Li, 2009. "Bootstrap prediction intervals for threshold autoregressive models," MPRA Paper 13086, University Library of Munich, Germany.
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