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Bootstrap Confidence Bands for Forecast Paths

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  • Anna Staszewska-Bystrova

Abstract

The problem of forecasting from vector autoregressive models has attracted considerable attention in the literature. The most popular non-Bayesian approaches use large sample normal theory or the bootstrap to evaluate the uncertainty associated with the forecast. The literature has concentrated on the problem of assessing the uncertainty of the prediction for a single period. This paper considers the problem of how to assess the uncertainty when the forecasts are done for a succession of periods. It describes and evaluates bootstrap method for constructing confidence bands for forecast paths. The bands are constructed from forecast paths obtained in bootstrap replications with an optimisation procedure used to find the envelope of the most concentrated paths. The method is shown to have good coverage properties in a Monte Carlo study.

Suggested Citation

  • Anna Staszewska-Bystrova, 2009. "Bootstrap Confidence Bands for Forecast Paths," Working Papers 024, COMISEF.
    • Handle: RePEc:com:wpaper:024
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    References listed on IDEAS

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    More about this item

    Keywords

    vector autoregression; forecast path; bootstrapping; simultaneous statistical inference;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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