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Bootstrap forecast of multivariate VAR models without using the backward representation

  • Fresoli, Diego
  • Ruiz, Esther
  • Pascual, Lorenzo

In this paper, we show how to simplify the construction of bootstrap prediction densities in multivariate VAR models by avoiding the backward representation. Bootstrap prediction densities are attractive because they incorporate the parameter uncertainty a any particular assumption about the error distribution. What is more, the construction of densities for more than one-step unknown asymptotically. The main advantage of the new simple without loosing the good performance of bootstrap procedures. Furthermore, by avoiding a backward representation, its asymptotic validity can be proved without relying on the assumption of Gaussian errors as proposed in this paper can be implemented to obtain prediction densities in models without a backward representation as, for example, models with MA components or GARCH disturbances. By comparing the finite sample performance of the proposed procedure with those of alternatives, we show that nothing is lost when using it. Finally, we implement the procedure to obtain prediction regions for US quarterly future inflation, unemployment and GDP growth

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Paper provided by Universidad Carlos III de Madrid. Departamento de Estadística in its series DES - Working Papers. Statistics and Econometrics. WS with number ws113426.

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Date of creation: Oct 2011
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Handle: RePEc:cte:wsrepe:ws113426
Contact details of provider: Web page: http://portal.uc3m.es/portal/page/portal/dpto_estadistica

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  1. Jurgen A Doornik & Henrik Hansen, . "An omnibus test for univariate and multivariate normalit," Economics Papers W4&91., Economics Group, Nuffield College, University of Oxford.
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  18. repec:att:wimass:9417 is not listed on IDEAS
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