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Bootstrapping Confidence Intervals: An Application to Forecasting the Supply of Pork

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  • David M. Prescott
  • Thanasis Stengos

Abstract

The article demonstrates how the distribution-free method of bootstrapping can be applied to the construction of confidence intervals for forecasts generated by a dynamic econometric model. Because the exogenous variables must be forecast, the forecasts of the dependent variable are functions of stochastic forecast-period exogenous variables. A dynamic model of pork supply is used to illustrate the procedure.

Suggested Citation

  • David M. Prescott & Thanasis Stengos, 1987. "Bootstrapping Confidence Intervals: An Application to Forecasting the Supply of Pork," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 69(2), pages 266-273.
    • Handle: RePEc:oup:ajagec:v:69:y:1987:i:2:p:266-273.
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    File URL: http://hdl.handle.net/10.2307/1242276
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    Cited by:

    1. Miller, Stephen E. & Kahl, Kandice H. & Rathwell, P. James, 1999. "Premium Rates For Yield Guarantee And Income Protection Crop Insurance For Georgia And South Carolina Peaches," 1999 Annual meeting, August 8-11, Nashville, TN 21699, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    2. Ismet, Mohammad & Barkley, Andrew P. & Llewelyn, Richard V., 1998. "Government intervention and market integration in Indonesian rice markets," Agricultural Economics, Blackwell, vol. 19(3), pages 283-295, December.
    3. Miller, Stephen E. & Kahl, Kandice H. & Rathwell, P. James, 2000. "Revenue Insurance For Georgia And South Carolina Peaches," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 32(1), pages 1-10, April.
    4. Isengildina, Olga & Irwin, Scott H. & Good, Darrel L., 2006. "Empirical Confidence Intervals for WASDE Forecasts of Corn, Soybean and Wheat Prices," 2006 Conference, April 17-18, 2006, St. Louis, Missouri 18995, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    5. Isengildina-Massa, Olga & Irwin, Scott H. & Good, Darrel L., 2008. "Quantile Regression Methods of Estimating Confidence Intervals for WASDE Price Forecasts," 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida 6409, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    6. Lam, J. -P. & Veall, M. R., 2002. "Bootstrap prediction intervals for single period regression forecasts," International Journal of Forecasting, Elsevier, vol. 18(1), pages 125-130.

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