Bootstrap joint prediction regions
Many statistical applications require the forecast of a random variable of interest over several periods into the future. The sequence of individual forecasts, one period at a time, is called a path forecast, where the term path refers to the sequence of individual future realizations of the random variable. The problem of constructing a corresponding joint prediction region has been rather neglected in the literature so far: such a region is supposed to contain the entire future path with a prespecified probability. We develop bootstrap methods to construct joint prediction regions. The resulting regions are proven to be asymptotically consistent under a mild high-level assumption. We compare the finitesample performance of our joint prediction regions to some previous proposals via Monte Carlo simulations. An empirical application to a real data set is also provided.
|Date of creation:||Feb 2012|
|Date of revision:||May 2013|
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"Stepwise Multiple Testing as Formalized Data Snooping,"
Econometric Society, vol. 73(4), pages 1237-1282, 07.
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