Bootstrap prediction intervals for linear, nonlinear, and nonparametric autoregressions
Author
Abstract
Suggested Citation
Download full text from publisher
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.
- Lorenzo Pascual & Juan Romo & Esther Ruiz, 2004.
"Bootstrap predictive inference for ARIMA processes,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 25(4), pages 449-465, July.
- Ruiz, Esther & Romo, Juan & Pascual, L., 1999. "Bootstrap Predictive Inference for Arima Processes," DES - Working Papers. Statistics and Econometrics. WS 6283, Universidad Carlos III de Madrid. Departamento de Estadística.
- Masarotto, Guido, 1990. "Bootstrap prediction intervals for autoregressions," International Journal of Forecasting, Elsevier, vol. 6(2), pages 229-239, July.
- Dimitris Politis, 2013. "Model-free model-fitting and predictive distributions," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(2), pages 183-221, June.
- Pilar Olave Robio, 1999. "Forecast intervals in ARCH models: bootstrap versus parametric methods," Applied Economics Letters, Taylor & Francis Journals, vol. 6(5), pages 323-327.
- Dimitris Politis, 2013. "Rejoinder on: Model-free model-fitting and predictive distributions," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(2), pages 240-250, June.
- Olive, David J., 2007. "Prediction intervals for regression models," Computational Statistics & Data Analysis, Elsevier, vol. 51(6), pages 3115-3122, March.
- Arup Bose & Kanchan Mukherjee, 2003. "Estimating The Arch Parameters By Solving Linear Equations," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(2), pages 127-136, March.
- Weiss, Andrew A., 1986. "Asymptotic Theory for ARCH Models: Estimation and Testing," Econometric Theory, Cambridge University Press, vol. 2(1), pages 107-131, April.
- Grigoletto, Matteo, 1998. "Bootstrap prediction intervals for autoregressions: some alternatives," International Journal of Forecasting, Elsevier, vol. 14(4), pages 447-456, December.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- 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.
- Silvia Gonçalves & Benoit Perron & Antoine Djogbenou, 2016. "Bootstrap prediction intervals for factor models," CIRANO Working Papers 2016s-19, CIRANO.
More about this item
Keywords
Physical Sciences and Mathematics; Confidence intervals; forecasting; time series;NEP fields
This 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)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cdl:ucsdec:qt67h5s74t. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Lisa Schiff). General contact details of provider: http://edirc.repec.org/data/deucsus.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.