Bootstrapping prediction intervals for autoregressive models
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- Masarotto, Guido, 1990. "Bootstrap prediction intervals for autoregressions," International Journal of Forecasting, Elsevier, vol. 6(2), pages 229-239, July.
- 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.
- 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.
- Ruiz, Esther & Romo, Juan & Pascual, L., 1999. "Effects of parameter estimation on prediction densities a bootstrap approach," DES - Working Papers. Statistics and Econometrics. WS 6304, Universidad Carlos III de Madrid. Departamento de Estadística.
- Chatfield, Chris, 1993. "Calculating Interval Forecasts," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(2), pages 121-135, April.
- Chatfield, Chris, 1993. "Calculating Interval Forecasts: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(2), pages 143-144, April.
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