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Asymptotic and bootstrap prediction regions for vector autoregression

  • Kim, Jae H.

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File URL: http://www.sciencedirect.com/science/article/B6V92-3Y9RMNX-7/2/d4eb1aecbbf408ce689efb40eff73874
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Article provided by Elsevier in its journal International Journal of Forecasting.

Volume (Year): 15 (1999)
Issue (Month): 4 (October)
Pages: 393-403

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Handle: RePEc:eee:intfor:v:15:y:1999:i:4:p:393-403
Contact details of provider: Web page: http://www.elsevier.com/locate/ijforecast

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  1. Chatfield, Chris, 1993. "Calculating Interval Forecasts: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(2), pages 143-44, April.
  2. McNees, Stephen K, 1986. "Forecasting Accuracy of Alternative Techniques: A Comparison of U.S. Macroeconomic Forecasts: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 23, January.
  3. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
  4. McNees, Stephen K, 1986. "Forecasting Accuracy of Alternative Techniques: A Comparison of U.S. Macroeconomic Forecasts," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 5-15, January.
  5. Masarotto, Guido, 1990. "Bootstrap prediction intervals for autoregressions," International Journal of Forecasting, Elsevier, vol. 6(2), pages 229-239, July.
  6. Maekawa, Koichi, 1987. "Finite Sample Properties of Several Predictors From an Autoregressive Model," Econometric Theory, Cambridge University Press, vol. 3(03), pages 359-370, June.
  7. Bessler, David A & Babula, Ronald A, 1987. "Forecasting Wheat Exports: Do Exchange Rates Matter?," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(3), pages 397-406, July.
  8. Robert G. Trevor & Susan J. Thorp, 1988. "VAR Forecasting Models of the Australian Economy: A Preliminary Analysis," RBA Research Discussion Papers rdp8802, Reserve Bank of Australia.
  9. Simkins, Scott, 1995. "Forecasting with vector autoregressive (VAR) models subject to business cycle restrictions," International Journal of Forecasting, Elsevier, vol. 11(4), pages 569-583, December.
  10. Liu, Te-Ru & Gerlow, Mary E. & Irwin, Scott H., 1994. "The performance of alternative VAR models in forecasting exchange rates," International Journal of Forecasting, Elsevier, vol. 10(3), pages 419-433, November.
  11. Rilstone, Paul & Veall, Michael, 1996. "Using Bootstrapped Confidence Intervals for Improved Inferences with Seemingly Unrelated Regression Equations," Econometric Theory, Cambridge University Press, vol. 12(03), pages 569-580, August.
  12. Fackler, James S & Krieger, Sandra C, 1986. "An Application of Vector Time Series Techniques to Macroeconomic Forecasting," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 71-80, January.
  13. Chatfield, Chris, 1993. "Calculating Interval Forecasts," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(2), pages 121-35, April.
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