Effects of parameter estimation on prediction densities: A bootstrap approach

International Journal of Forecasting

Volumn 17, Issue 1, 2001, Pages 83-103

  Pascual, Lorenzo ^a   Romo, Juan ^a   Ruiz, Esther ^a  

^a UNIVERSIDAD CARLOS III DE MADRID   (Spain)

Author keywords

Forecasting; Least absolute deviations; Non normal distributions; Ordinary least squares

Indexed keywords

EID: 0002670677     PISSN: 01692070     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0169-2070(00)00069-8     Document Type: Article

References (14)

1. Bassett G., Koenker R. Asymptotic theory of least absolute error regression. Journal of the American Statistical Association. 73:1976;618-622.
2. Box G.E.P., Jenkins G.M. Time Series Analysis: Forecasting and Control. 1976;Holden-Day, San Francisco.
3. Cao R., Febrero-Bande M., Gonzalez-Manteiga W., Prada-Sanchez J.M., Garcia-Jurado I. Saving computer time in constructing consistent bootstrap prediction intervals for autoregressive processes. Communications in Statistics, Simulation and Computation. 26:1997;961-978.
4. Chatfield C. Calculating interval forecasts. Journal of Business and Economic Statistics. 11:1993;121-135.
5. Diggle P. Time Series. A Biostatistical Introduction. 1990;Clarendon Press, Oxford.
6. Efron B., Tibshirani R. An Introduction to the Bootstrap. 1993;Chapman and Hall, New York.
7. Gómez, V., & Maravall, A., (1996). Programs TRAMO and SEATS: Instructions for the user. Documento de Trabajo no. 9628, Banco de España (Spain).
8. Grigoletto M. Bootstrap prediction intervals for autoregressions: some alternatives. International Journal of Forecasting. 14:1998;447-456.
9. Hall P. The Bootstrap and Edgeworth Expansion. 1992;Springer-Verlag, New York.
10. Masarotto G. Bootstrap prediction intervals for autoregressions. International Journal of Forecasting. 6:1990;229-239.
11. Pascual, L., Romo, J., & Ruiz, E. (1998). Bootstrap predictive inference for ARIMA processes. Working Paper 98-86, Universidad Carlos III de Madrid.
12. Press W.H., Flannery B.P., Teukolsky S.A., Vetterling W.T. Numerical Recipes. 1986;Cambridge University Press, Cambridge.
13. Stine R.A. Estimating properties of autoregressive forecasts. Journal of the American Statistical Association. 82:1987;1072-1078.
14. Thombs L.A., Schucany W.R. Bootstrap prediction intervals for autoregression. Journal of the American Statistical Association. 85:1990;486-492.