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Asymptotic and bootstrap prediction regions for vector autoregression

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  • Kim, Jae H.

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  • Kim, Jae H., 1999. "Asymptotic and bootstrap prediction regions for vector autoregression," International Journal of Forecasting, Elsevier, vol. 15(4), pages 393-403, October.
    • Handle: RePEc:eee:intfor:v:15:y:1999:i:4:p:393-403
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    1. Chatfield, Chris, 1993. "Calculating Interval Forecasts: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(2), pages 143-144, April.
    2. Hinkley, D. V., 1997. "Discussion of paper by H. Li & G.S. Maddala," Journal of Econometrics, Elsevier, vol. 80(2), pages 319-323, October.
    3. Masarotto, Guido, 1990. "Bootstrap prediction intervals for autoregressions," International Journal of Forecasting, Elsevier, vol. 6(2), pages 229-239, July.
    4. Maekawa, Koichi, 1987. "Finite Sample Properties of Several Predictors From an Autoregressive Model," Econometric Theory, Cambridge University Press, vol. 3(3), pages 359-370, June.
    5. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    6. McNees, Stephen K, 1986. "Forecasting Accuracy of Alternative Techniques: A Comparison of U.S. Macroeconomic Forecasts," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 5-15, January.
    7. Chatfield, Chris, 1993. "Calculating Interval Forecasts," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(2), pages 121-135, April.
    8. Bessler, David A & Babula, Ronald A, 1987. "Forecasting Wheat Exports: Do Exchange Rates Matter?," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(3), pages 397-406, July.
    9. Kim, Jae H., 1997. "Relationship Between the Forward and Backward Representations of the Stationary VAR Model," Econometric Theory, Cambridge University Press, vol. 13(06), pages 889-889, December.
    10. Rilstone, Paul & Veall, Michael, 1996. "Using Bootstrapped Confidence Intervals for Improved Inferences with Seemingly Unrelated Regression Equations," Econometric Theory, Cambridge University Press, vol. 12(3), pages 569-580, August.
    11. Litterman, Robert B, 1986. "Forecasting with Bayesian Vector Autoregressions-Five Years of Experience," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 25-38, January.
    12. Liu, Te-Ru & Gerlow, Mary E. & Irwin, Scott H., 1994. "The performance of alternative VAR models in forecasting exchange rates," International Journal of Forecasting, Elsevier, vol. 10(3), pages 419-433, November.
    13. Simkins, Scott, 1995. "Forecasting with vector autoregressive (VAR) models subject to business cycle restrictions," International Journal of Forecasting, Elsevier, vol. 11(4), pages 569-583, December.
    14. Fackler, James S & Krieger, Sandra C, 1986. "An Application of Vector Time Series Techniques to Macroeconomic Forecasting," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 71-80, January.
    15. McNees, Stephen K, 1986. "Forecasting Accuracy of Alternative Techniques: A Comparison of U.S. Macroeconomic Forecasts: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 1-23, January.
    16. Trevor, R G & Thorp, S J, 1988. "VAR Forecasting Models of the Australian Economy: A Preliminary Analysis," Australian Economic Papers, Wiley Blackwell, vol. 27(0), pages 108-120, Supplemen.
    17. Litterman, Robert, 1986. "Forecasting with Bayesian vector autoregressions -- Five years of experience : Robert B. Litterman, Journal of Business and Economic Statistics 4 (1986) 25-38," International Journal of Forecasting, Elsevier, vol. 2(4), pages 497-498.
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