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Bootstrap prediction intervals for threshold autoregressive models

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  • Jing, Li
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Abstract

This paper examines the performance of prediction intervals based on bootstrap for threshold autoregressive models. We consider four bootstrap methods to account for the variability of estimates, correct the small-sample bias of autoregressive coefficients and allow for heterogeneous errors. Simulation shows that (1) accounting for the sampling variability of estimated threshold values is necessary despite super-consistency, (2) bias-correction leads to better prediction intervals under certain circumstances, and (3) two-sample bootstrap can improve long term forecast when errors are regime-dependent.

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File URL: http://mpra.ub.uni-muenchen.de/13086/
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 13086.

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Date of creation: Jan 2009
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Handle: RePEc:pra:mprapa:13086

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Keywords: Bootstrap; Interval Forecasting; Threshold Autoregressive Models; Time Series; Simulation;

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  1. Bruce E. Hansen, 2000. "Sample Splitting and Threshold Estimation," Econometrica, Econometric Society, Econometric Society, vol. 68(3), pages 575-604, May.
  2. Chatfield, Chris, 1993. "Calculating Interval Forecasts: Reply," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 11(2), pages 143-44, April.
  3. Jae H. Kim, 2004. "Bias-corrected bootstrap prediction regions for vector autoregression," Journal of Forecasting, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 23(2), pages 141-154.
  4. Maekawa, Koichi, 1987. "Finite Sample Properties of Several Predictors From an Autoregressive Model," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 3(03), pages 359-370, June.
  5. Kim, Jae H, 2002. "Bootstrap Prediction Intervals for Autoregressive Models of Unknown or Infinite Lag Order," Journal of Forecasting, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 21(4), pages 265-80, July.
  6. Kim, Jae H, 2001. "Bootstrap-after-Bootstrap Prediction Intervals for Autoregressive Models," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 19(1), pages 117-28, January.
  7. Masarotto, Guido, 1990. "Bootstrap prediction intervals for autoregressions," International Journal of Forecasting, Elsevier, Elsevier, vol. 6(2), pages 229-239, July.
  8. 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.
  9. Grigoletto, Matteo, 1998. "Bootstrap prediction intervals for autoregressions: some alternatives," International Journal of Forecasting, Elsevier, Elsevier, vol. 14(4), pages 447-456, December.
  10. Kim, Jae H., 1999. "Asymptotic and bootstrap prediction regions for vector autoregression," International Journal of Forecasting, Elsevier, Elsevier, vol. 15(4), pages 393-403, October.
  11. Chatfield, Chris, 1993. "Calculating Interval Forecasts," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 11(2), pages 121-35, April.
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