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Bootstrap prediction intervals for autoregressive time series

  • Clements, Michael P.
  • Kim, Jae H.

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File URL: http://www.sciencedirect.com/science/article/B6V8V-4M33SJG-2/2/54535fb041604bfaf8baaf5d861a1c8e
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Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

Volume (Year): 51 (2007)
Issue (Month): 7 (April)
Pages: 3580-3594

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Handle: RePEc:eee:csdana:v:51:y:2007:i:7:p:3580-3594
Contact details of provider: Web page: http://www.elsevier.com/locate/csda

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  1. Gospodinov, Nikolay, 2002. "Median unbiased forecasts for highly persistent autoregressive processes," Journal of Econometrics, Elsevier, vol. 111(1), pages 85-101, November.
  2. Clements, Michael P. & Hendry, David F., 2006. "Forecasting with Breaks," Handbook of Economic Forecasting, Elsevier.
  3. James G. MacKinnon & Anthony A. Smith Jr., 1995. "Approximate Bias Correction in Econometrics," Working Papers 919, Queen's University, Department of Economics.
  4. Clements, Michael P. & Taylor, Nick, 2001. "Bootstrapping prediction intervals for autoregressive models," International Journal of Forecasting, Elsevier, vol. 17(2), pages 247-267.
  5. 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.
  6. Chatfield, Chris, 1993. "Calculating Interval Forecasts: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(2), pages 143-44, April.
  7. Grigoletto, Matteo, 1998. "Bootstrap prediction intervals for autoregressions: some alternatives," International Journal of Forecasting, Elsevier, vol. 14(4), pages 447-456, December.
  8. Lawrence J. Christiano & Martin Eichenbaum, 1990. "Unit roots in real GNP: do we know, and do we care?," Working Paper Series, Macroeconomic Issues 90-2, Federal Reserve Bank of Chicago.
  9. Andrews, Donald W K & Chen, Hong-Yuan, 1994. "Approximately Median-Unbiased Estimation of Autoregressive Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(2), pages 187-204, April.
  10. Michael P. Clements & David F.Hendry, 2001. "Forecasting with difference-stationary and trend-stationary models," Econometrics Journal, Royal Economic Society, vol. 4(1), pages S1-S19.
  11. 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 265-80, July.
  12. James G. MacKinnon, 2002. "Bootstrap inference in econometrics," Canadian Journal of Economics, Canadian Economics Association, vol. 35(4), pages 615-645, November.
  13. Atsushi Inoue & Lutz Kilian, 2000. "Bootstrapping Autoregressive Processes with Possible Unit Roots," Econometric Society World Congress 2000 Contributed Papers 0401, Econometric Society.
  14. 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.
  15. Kim, Jae H., 1999. "Asymptotic and bootstrap prediction regions for vector autoregression," International Journal of Forecasting, Elsevier, vol. 15(4), pages 393-403, October.
  16. Chatfield, Chris, 1993. "Calculating Interval Forecasts," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(2), pages 121-35, April.
  17. Pascual, Lorenzo & Romo, Juan & Ruiz, Esther, 2006. "Bootstrap prediction for returns and volatilities in GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2293-2312, May.
  18. Kim, Jae H, 2001. "Bootstrap-after-Bootstrap Prediction Intervals for Autoregressive Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(1), pages 117-28, January.
  19. Masarotto, Guido, 1990. "Bootstrap prediction intervals for autoregressions," International Journal of Forecasting, Elsevier, vol. 6(2), pages 229-239, July.
  20. Jeremy Berkowitz & Lutz Kilian, 2000. "Recent developments in bootstrapping time series," Econometric Reviews, Taylor & Francis Journals, vol. 19(1), pages 1-48.
  21. Andrews, Donald W K, 1993. "Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models," Econometrica, Econometric Society, vol. 61(1), pages 139-65, January.
  22. 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.
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