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.:
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- Helmut Lütkepohl, 2010.
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- Helmut Luetkepohl, 2007. "Econometric Analysis with Vector Autoregressive Models," Economics Working Papers ECO2007/11, European University Institute.
- Jing, Li, 2009. "Bootstrap prediction intervals for threshold autoregressive models," MPRA Paper 13086, University Library of Munich, Germany.
- Pan, Li & Politis, Dimitris N, 2014. "Bootstrap prediction intervals for linear, nonlinear, and nonparametric autoregressions," University of California at San Diego, Economics Working Paper Series qt67h5s74t, Department of Economics, UC San Diego.
- Helmut Luetkepohl, 2011. "Vector Autoregressive Models," Economics Working Papers ECO2011/30, European University Institute.
- Andrés M. Alonso & Daniel Peña & Juan Romo, 2001. "Introducing Model Uncertainty In Time Series Bootstrap," Statistics and Econometrics Working Papers ws011409, Universidad Carlos III, Departamento de Estadística y Econometría.
- 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.
- 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.
- 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.
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