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Bootstrapping prediction intervals for autoregressive models

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Author Info
Clements, Michael P.
Taylor, Nick

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Abstract

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File URL: http://www.sciencedirect.com/science/article/B6V92-42YW20F-7/2/0c69213281d0605abdea8d51e41bed12
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Article provided by Elsevier in its journal International Journal of Forecasting.

Volume (Year): 17 (2001)
Issue (Month): 2 ()
Pages: 247-267
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Handle: RePEc:eee:intfor:v:17:y:2001:i:2:p:247-267

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  1. Dag Kolsrud, 2008. "Stochastic Ceteris Paribus Simulations," Computational Economics, Springer, vol. 31(1), pages 21-43, February. [Downloadable!] (restricted)
  2. Helmut Luetkepohl, 2009. "Forecasting Aggregated Time Series Variables: A Survey," Economics Working Papers ECO2009/17, European University Institute. [Downloadable!]
  3. Valentina Corradi & Norman R. Swanson, 2003. "A Test for Comparing Multiple Misspecified Conditional Distributions," Departmental Working Papers 200314, Rutgers University, Department of Economics. [Downloadable!]
  4. Dora Borbély & Carsten-Patrick Meier, 2003. "Macroeconomic Interval Forecasting: The Case of Assessing the Risk of Deflation in Germany," Kiel Working Papers 1153, Kiel Institute for the World Economy. [Downloadable!]
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