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Bootstrap prediction intervals for autoregression using asymptotically mean-unbiased estimators

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  • Kim, Jae H.

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  • 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.
    • Handle: RePEc:eee:intfor:v:20:y:2004:i:1:p:85-97
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    1. Kilian, Lutz & Demiroglu, Ufuk, 2000. "Residual-Based Tests for Normality in Autoregressions: Asymptotic Theory and Simulation Evidence," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(1), pages 40-50, January.
    2. Bruce E. Hansen, 1999. "The Grid Bootstrap And The Autoregressive Model," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 594-607, November.
    3. Kim, Jae H, 2001. "Bootstrap-after-Bootstrap Prediction Intervals for Autoregressive Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(1), pages 117-128, January.
    4. Masarotto, Guido, 1990. "Bootstrap prediction intervals for autoregressions," International Journal of Forecasting, Elsevier, vol. 6(2), pages 229-239, July.
    5. Paul Kabaila, 1993. "On Bootstrap Predictive Inference For Autoregressive Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 14(5), pages 473-484, September.
    6. Kim, Jae H, 2002. "Bootstrap Prediction Intervals for Autoregressive Models of Unknown or Infinite Lag Order," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 21(4), pages 265-280, July.
    7. Rudebusch, Glenn D, 1993. "The Uncertain Unit Root in Real GNP," American Economic Review, American Economic Association, vol. 83(1), pages 264-272, March.
    8. Clements, Michael P. & Taylor, Nick, 2001. "Bootstrapping prediction intervals for autoregressive models," International Journal of Forecasting, Elsevier, vol. 17(2), pages 247-267.
    9. Kilian, L. & Demiroglu, U., 1997. "Residual-Based Bootstrap Tests for Normality in Autoregressions," Papers 97-14, Michigan - Center for Research on Economic & Social Theory.
    10. 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.
    11. Lutz Kilian, 1998. "Small-Sample Confidence Intervals For Impulse Response Functions," The Review of Economics and Statistics, MIT Press, vol. 80(2), pages 218-230, May.
    12. Patterson, K. D., 2000. "Bias reduction in autoregressive models," Economics Letters, Elsevier, vol. 68(2), pages 135-141, August.
    13. Orcutt, Guy H & Winokur, Herbert S, Jr, 1969. "First Order Autoregression: Inference, Estimation, and Prediction," Econometrica, Econometric Society, vol. 37(1), pages 1-14, January.
    14. Kim, Jae H., 1999. "Asymptotic and bootstrap prediction regions for vector autoregression," International Journal of Forecasting, Elsevier, vol. 15(4), pages 393-403, October.
    15. Kilian, Lutz, 2001. "Impulse Response Analysis in Vector Autoregressions with Unknown Lag Order," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(3), pages 161-179, April.
    16. Lutz Kilian, 1998. "Accounting for Lag Order Uncertainty in Autoregressions: the Endogenous Lag Order Bootstrap Algorithm," Journal of Time Series Analysis, Wiley Blackwell, vol. 19(5), pages 531-548, September.
    17. Grigoletto, Matteo, 1998. "Bootstrap prediction intervals for autoregressions: some alternatives," International Journal of Forecasting, Elsevier, vol. 14(4), pages 447-456, December.
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    Citations

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    Cited by:

    1. Kim, Jae H. & Wong, Kevin & Athanasopoulos, George & Liu, Shen, 2011. "Beyond point forecasting: Evaluation of alternative prediction intervals for tourist arrivals," International Journal of Forecasting, Elsevier, vol. 27(3), pages 887-901.
    2. Liu, Shen & Maharaj, Elizabeth Ann & Inder, Brett, 2014. "Polarization of forecast densities: A new approach to time series classification," Computational Statistics & Data Analysis, Elsevier, vol. 70(C), pages 345-361.
    3. Song, Haiyan & Wen, Long & Liu, Chang, 2019. "Density tourism demand forecasting revisited," Annals of Tourism Research, Elsevier, vol. 75(C), pages 379-392.
    4. K. D. Patterson, 2007. "Bias Reduction through First-order Mean Correction, Bootstrapping and Recursive Mean Adjustment," Journal of Applied Statistics, Taylor & Francis Journals, vol. 34(1), pages 23-45.
    5. João Henrique Gonçalves Mazzeu & Esther Ruiz & Helena Veiga, 2018. "Uncertainty And Density Forecasts Of Arma Models: Comparison Of Asymptotic, Bayesian, And Bootstrap Procedures," Journal of Economic Surveys, Wiley Blackwell, vol. 32(2), pages 388-419, April.
    6. Jae H. Kim & Andrew P. Robinson, 2019. "Interval-Based Hypothesis Testing and Its Applications to Economics and Finance," Econometrics, MDPI, vol. 7(2), pages 1-22, May.
    7. 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.
    8. Kim, Jae & Choi, In, 2015. "Unit Roots in Economic and Financial Time Series: A Re-Evaluation based on Enlightened Judgement," MPRA Paper 68411, University Library of Munich, Germany.
    9. 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.
    10. Dag Kolsrud, 2015. "A Time‐Simultaneous Prediction Box for a Multivariate Time Series," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(8), pages 675-693, December.
    11. Dag Kolsrud, 2007. "Time-simultaneous prediction band for a time series," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(3), pages 171-188.
    12. Liu, Shen & Maharaj, Elizabeth Ann, 2013. "A hypothesis test using bias-adjusted AR estimators for classifying time series in small samples," Computational Statistics & Data Analysis, Elsevier, vol. 60(C), pages 32-49.
    13. Gonçalves Mazzeu, Joao Henrique & Ruiz Ortega, Esther & Veiga, Helena, 2015. "Model uncertainty and the forecast accuracy of ARMA models: A survey," DES - Working Papers. Statistics and Econometrics. WS ws1508, Universidad Carlos III de Madrid. Departamento de Estadística.

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