Bootstrap-after-bootstrap prediction intervals for autoregressive models

Journal of Business and Economic Statistics

Volumn 19, Issue 1, 2001, Pages 117-128

  Kim, Jae H ^a  

^a LA TROBE UNIVERSITY   (Australia)

Author keywords

Bias correction; Interval forecasting; Nonnormality; Unit roots

Indexed keywords

EID: 0035581778     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/07350010152472670     Document Type: Article

References (36)

1. Bessler, D. A., and Babula, R. A. (1987), "Forecasting Wheat Exports: Do Exchange Rates Matter?" Journal of Business & Economic Statistics, 5, 397-406.
2. Booth, J. G., and Hall, P. (1994), "Monte Carlo Approximation and the Iterated Bootstrap," Biometrika, 81, 331-340.
3. Breidt, F. J., Davis, R. A., and Dunsmuir, W. T. M. (1992), "On Backcasting in Linear Time Series Models," in New Directions in Time Series Analysis Part I, eds. D. Brillinger et al., New York, Springer-Verlag, pp. 25-40.
4. _ (1995), "Improved Bootstrap Prediction Intervals for Autoregressions," Journal of Time Series Analysis, 16, 177-200.
5. Chatfield, C. (1993), "Calculating Interval Forecasts," Journal of Business & Economic Statistics, 11, 121-135.
6. Christoffersen, P. F. (1998), "Evaluating Interval Forecasts," International Economic Review, 39, 841-862.
7. Diebold, F. X. and Kilian, L. (2000), "Unit-Root Tests Are Useful for Selecting Forecasting Models," Journal of Business & Economic Statistics, 18, 265-273.
8. Efron, B., and Tibshirani, R. J. (1993), An Introduction to the Bootstrap, New York, Chapman & Hall.
9. Engle, R. F. (1982), "Autoregressive Conditional Heteroskedasticty With Estimates of the Variance of U.K. Inflation," Econometrica, 50, 987-1008.
10. Findley, D. F. (1986), "On Bootstrap Estimates of Forecast Mean Square Errors for Autoregressive Processes," in Computer Science and Statistics: The Interface, ed. D. M. Allen, Amsterdam: Elsevier Science, pp. 11-17.
11. Franses, P. H. (1998), Time Series Models for Business and Economic Forecasting, Cambridge, U.K.: Cambridge University Press.
12. Freedman, D. A. (1984), "On Bootstrapping Two-Stage Least-Squares Estimates in Stationary Linear Model," The Annals of Statistics, 12, 827-842.
13. Grigoletto, M. (1998), "Bootstrap Prediction Intervals for Autoregressions: Some Alternatives," International Journal of Forecasting, 14, 447-456.
14. Kabaila, P. (1993), "On Bootstrap Predictive Inference for Autoregressive Processes," Journal of Time Series Analysis, 14, 473-484.
15. Kilian, L. (1998a), "Small Sample Confidence Intervals for Impulse Response Functions," The Review of Economics and Statistics, 80, 218-230.
16. _ (1998b), "Confidence Intervals for Impulse Responses Under Departure From Normality," Econometric Reviews, 17, 1-29.
17. _ (1998c), "Accounting for Lag-Order Uncertainty in Autoregressions: The Endogenous Lag Order Bootstrap Algorithm," Journal of Time Series Analysis, 19, 531-528.
18. Kilian, L., and Demiroglu, U. (2000), "Residual-Based Bootstrap Tests for Normality in Autoregressions: Asymptotic Theory and Simulation Evidence," Journal of Business & Economic Statistics, 18, 40-50.
19. Kim, J. H. (1997), "Relationship Between the Forward and Backward Representations of the Stationary VAR Model, Problem 97.5.2," Econometric Theory, 13, 889-890.
20. _ (1998), "Relationship Between the Forward and Backward Representations of the Stationary VAR Model, Solution 97.5.2," Econometric Theory, 14, 691-693.
21. _ (1999), "Asymptotic and Bootstrap Prediction Regions for Vector Autoregression," International Journal of Forecasting, 15, 393-403.
22. Litterman, R. B. (1986), "Forecasting with Bayesian Vector Autoregressions - Five Years of Experience," Journal of Business & Economic Statistics, 4, 25-38.
23. Lütkepohl, H. (1991), Introduction to Multiple Time Series Analysis, Berlin: Springer-Verlag.
24. Maekawa, K. (1987), "Finite Sample Properties of Several Predictors From an Autoregressive Model," Econometric Theory, 3, 359-370.
25. Masarotto, G. (1990), "Bootstrap Prediction Intervals for Autoregression," International Journal of Forecasting, 6, 229-329.
26. McCullough, B. D. (1994), "Bootstrapping Forecast Intervals: An Application to AR(p) Models," Journal of Forecasting, 13, 51-66.
27. McNees, S. K. (1986), "Forecasting Accuracy of Alternative Techniques: A Comparison of U.S. Macroeconomic Forecasts," Journal of Business & Economic Statistics, 4, 5-15.
28. Nicholls, D. F., and Pope, A. L. (1988), "Bias in Estimation of Multivariate Autoregression," Australian Journal of Statistics, 30A, 296-309.
29. Pope, A. L. (1990), "Biases of Estimators in Multivariate Non-Gaussian Autoregressions," Journal of Time Series Analysis, 11, 249-258.
30. Rilstone, P., and Veall, M. (1996), "Using Bootstrapped Confidence Intervals for Improved Inferences With Seemingly Unrelated Regression Equations," Econometric Theory, 12, 569-580.
31. Shaman, P., and Stine, R. A. (1988), "The Bias of Autoregressive Coefficient Estimators," Journal of the American Statistical Association, 83, 842-848.
32. Simkins, S. (1995), "Forecasting With Vector Autoregressive (VAR) Models Subject to Business Cycle Restrictions," International Journal of Forecasting, 11, 569-583.
33. Sims, C. A. (1988), "Bayesian Skepticism on Unit Root Econometrics," Journal of Economic Dynamics and Control, 12, 463-474.
34. Stine, R. A. (1987), "Estimating Properties of Autoregressive Forecasts," Journal of the American Statistical Association, 82, 1072-1078.
35. Thombs, L. A., and Schucany, W. R. (1990), "Bootstrap Prediction Intervals for Autoregression," Journal of the American Statistical Association, 85, 486-492.
36. Tjostheim, D., and Paulsen, J. (1983), "Bias of Some Commonly-Used Time Series Estimates," Biometrika, 70, 389-399.