Bootstrap prediction intervals for linear, nonlinear, and nonparametric autoregressions
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References listed on IDEAS
- Jesús Miguel & Pilar Olave, 1999. "Bootstrapping forecast intervals in ARCH models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 8(2), pages 345-364, December.
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- Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Michael Wolf & Dan Wunderli, 2015. "Recent developments in bootstrap methods for dependent data," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(3), pages 352-376, May.
- Sílvia Gonçalves & Benoit Perron & Antoine Djogbenou, 2017. "Bootstrap Prediction Intervals for Factor Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(1), pages 53-69, January.
More about this item
KeywordsPhysical Sciences and Mathematics; Confidence intervals; forecasting; time series;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ECM-2014-03-30 (Econometrics)
- NEP-ETS-2014-03-30 (Econometric Time Series)
- NEP-FOR-2014-03-30 (Forecasting)
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