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Bootstrapping prediction intervals for autoregressive models

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  • Clements, Michael P.
  • Taylor, Nick

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File URL: http://www.sciencedirect.com/science/article/B6V92-42YW20F-7/2/0c69213281d0605abdea8d51e41bed12
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Bibliographic Info

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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Web page: http://www.elsevier.com/locate/ijforecast

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References

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  1. 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.
  2. Chatfield, Chris, 1993. "Calculating Interval Forecasts," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(2), pages 121-35, April.
  3. Masarotto, Guido, 1990. "Bootstrap prediction intervals for autoregressions," International Journal of Forecasting, Elsevier, vol. 6(2), pages 229-239, July.
  4. Chatfield, Chris, 1993. "Calculating Interval Forecasts: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(2), pages 143-44, April.
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Cited by:
  1. Jae H. Kim & Haiyang Song & Kevin Wong & George Athanasopoulos & Shen Liu, 2008. "Beyond point forecasting: evaluation of alternative prediction intervals for tourist arrivals," Monash Econometrics and Business Statistics Working Papers 11/08, Monash University, Department of Econometrics and Business Statistics, revised Oct 2009.
  2. 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.
  3. Valentina Corradi & Norman R. Swanson, 2003. "A Test for Comparing Multiple Misspecified Conditional Distributions," Departmental Working Papers 200314, Rutgers University, Department of Economics.
  4. Òscar Jordà & Malte Knüppel & Massimiliano Marcellino, 2010. "Empirical Simultaneous Confidence Regions for Path-Forecasts," Economics Working Papers ECO2010/18, European University Institute.
  5. 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.
  6. Reeves, Jonathan J., 2005. "Bootstrap prediction intervals for ARCH models," International Journal of Forecasting, Elsevier, vol. 21(2), pages 237-248.
  7. 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.
  8. 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.
  9. Dag Kolsrud, 2008. "Stochastic Ceteris Paribus Simulations," Computational Economics, Society for Computational Economics, vol. 31(1), pages 21-43, February.
  10. 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.
  11. Anna Staszewska-Bystrova, 2009. "Bootstrap Confidence Bands for Forecast Paths," Working Papers 024, COMISEF.
  12. Jordà, Òscar & Knüppel, Malte & Marcellino, Massimiliano, 2013. "Empirical simultaneous prediction regions for path-forecasts," International Journal of Forecasting, Elsevier, vol. 29(3), pages 456-468.
  13. Michael Wolf & Dan Wunderli, 2012. "Bootstrap joint prediction regions," ECON - Working Papers 064, Department of Economics - University of Zurich, revised May 2013.
  14. 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.
  15. Anna Staszewska‐Bystrova, 2011. "Bootstrap prediction bands for forecast paths from vector autoregressive models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(8), pages 721-735, December.
  16. Galvao, Ana Beatriz & Costa, Sonia, 2013. "Does the euro area forward rate provide accurate forecasts of the short rate?," International Journal of Forecasting, Elsevier, vol. 29(1), pages 131-141.
  17. Benner, Joachim & Borbély, Dóra & Boss, Alfred & Kamps, Annette & Meier, Carsten-Patrick & Oskamp, Frank & Scheide, Joachim & Schmidt, Rainer, 2003. "Deutschland: Stagnation hält vorerst an," Open Access Publications from Kiel Institute for the World Economy 2984, Kiel Institute for the World Economy (IfW).

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