Bootstrap joint prediction regions
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Cited by:
- Anna Staszewska-Bystrova & Peter Winker, 2014. "Measuring Forecast Uncertainty of Corporate Bond Spreads by Bonferroni-Type Prediction Bands," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 6(2), pages 89-104, June.
- Fady Barsoum, 2015. "Point and Density Forecasts Using an Unrestricted Mixed-Frequency VAR Model," Working Paper Series of the Department of Economics, University of Konstanz 2015-19, Department of Economics, University of Konstanz.
- Régis Barnichon & Geert Mesters, 2020. "Optimal policy perturbations," Economics Working Papers 1716, Department of Economics and Business, Universitat Pompeu Fabra.
- Daniel Grabowski & Anna Staszewska-Bystrova & Peter Winker, 2020.
"Skewness-adjusted bootstrap confidence intervals and confidence bands for impulse response functions,"
AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 104(1), pages 5-32, March.
- Daniel Grabowski & Anna Staszewska-Bystrova & Peter Winker, 2018. "Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions," MAGKS Papers on Economics 201810, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Grabowski, Daniel & Staszewska-Bystrova, Anna, 2018. "Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181590, Verein für Socialpolitik / German Economic Association.
- Daniel Grabowski & Anna Staszewska-Bystrova & Peter Winker, 2018. "Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions," Lodz Economics Working Papers 1/2018, University of Lodz, Faculty of Economics and Sociology.
- Stefan Bruder, 2014. "Comparing several methods to compute joint prediction regions for path forecasts generated by vector autoregressions," ECON - Working Papers 181, Department of Economics - University of Zurich, revised Dec 2015.
- Maria Lucia Parrella & Giuseppina Albano & Cira Perna & Michele La Rocca, 2021. "Bootstrap joint prediction regions for sequences of missing values in spatio-temporal datasets," Computational Statistics, Springer, vol. 36(4), pages 2917-2938, December.
- Andrew Martinez, 2017. "Testing for Differences in Path Forecast Accuracy: Forecast-Error Dynamics Matter," Working Papers (Old Series) 1717, Federal Reserve Bank of Cleveland.
- 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.
- Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2020.
"Constructing joint confidence bands for impulse response functions of VAR models – A review,"
Econometrics and Statistics, Elsevier, vol. 13(C), pages 69-83.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2018. "Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models: A Review," Discussion Papers of DIW Berlin 1762, DIW Berlin, German Institute for Economic Research.
- Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2018. "Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models - A Review," Lodz Economics Working Papers 4/2018, University of Lodz, Faculty of Economics and Sociology.
- Pan, Li & Politis, Dimitris N., 2016. "Bootstrap prediction intervals for Markov processes," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 467-494.
- David Harris & Gael M. Martin & Indeewara Perera & Don S. Poskitt, 2017. "Construction and visualization of optimal confidence sets for frequentist distributional forecasts," Monash Econometrics and Business Statistics Working Papers 9/17, Monash University, Department of Econometrics and Business Statistics.
- Farooq Akram & Andrew Binning & Junior Maih, 2016.
"Joint Prediction Bands for Macroeconomic Risk Management,"
Working Papers
No 5/2016, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Farooq Akram & Andrew Binning & Junior Maih, 2016. "Joint prediction bands for macroeconomic risk management," Working Paper 2016/7, Norges Bank.
- Pan, Li & Politis, Dimitris, 2014. "Bootstrap prediction intervals for Markov processes," University of California at San Diego, Economics Working Paper Series qt7555757g, Department of Economics, UC San Diego.
- Winker, Peter & Helmut, Lütkepohl & Staszewska-Bystrova, Anna, 2014.
"Confidence Bands for Impulse Responses: Bonferroni versus Wald,"
VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy
100597, Verein für Socialpolitik / German Economic Association.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2014. "Confidence Bands for Impulse Responses: Bonferroni versus Wald," CESifo Working Paper Series 4634, CESifo.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2014. "Confidence Bands for Impulse Responses: Bonferroni versus Wald," SFB 649 Discussion Papers SFB649DP2014-007, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2014. "Confidence Bands for Impulse Responses: Bonferroni versus Wald," Discussion Papers of DIW Berlin 1354, DIW Berlin, German Institute for Economic Research.
- Jordà, Òscar & Knüppel, Malte & Marcellino, Massimiliano, 2013.
"Empirical simultaneous prediction regions for path-forecasts,"
International Journal of Forecasting, Elsevier, vol. 29(3), pages 456-468.
- Jordà, Òscar & Knüppel, Malte & Marcellino, Massimiliano, 2010. "Empirical simultaneous confidence regions for path-forecasts," Discussion Paper Series 1: Economic Studies 2010,06, Deutsche Bundesbank.
- Marcellino, Massimiliano & Knüppel, Malte & Jordà , Òscar, 2010. "Empirical Simultaneous Confidence Regions for Path-Forecasts," CEPR Discussion Papers 7797, C.E.P.R. Discussion Papers.
- Régis Barnichon & Geert Mesters, 2020.
"A Sufficient Statistics Approach for Macro Policy Evaluation,"
Working Papers
1171, Barcelona School of Economics.
- Régis Barnichon & Geert Mesters, 2022. "A Sufficient Statistics Approach for Macro Policy Evaluation," Working Paper Series 2022, Federal Reserve Bank of San Francisco.
- Antoniadis, Anestis & Brossat, Xavier & Cugliari, Jairo & Poggi, Jean-Michel, 2016. "A prediction interval for a function-valued forecast model: Application to load forecasting," International Journal of Forecasting, Elsevier, vol. 32(3), pages 939-947.
- Lütkepohl, Helmut & Staszewska-Bystrova, Anna & Winker, Peter, 2015.
"Comparison of methods for constructing joint confidence bands for impulse response functions,"
International Journal of Forecasting, Elsevier, vol. 31(3), pages 782-798.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2013. "Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions," Discussion Papers of DIW Berlin 1292, DIW Berlin, German Institute for Economic Research.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2013. "Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions," SFB 649 Discussion Papers SFB649DP2013-031, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2013. "Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions," MAGKS Papers on Economics 201325, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Fresoli, Diego E. & Ruiz, Esther, 2016.
"The uncertainty of conditional returns, volatilities and correlations in DCC models,"
Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 170-185.
- Fresoli, Diego Eduardo & Ruiz Ortega, Esther, 2014. "The uncertainty of conditional returns, volatilities and correlations in DCC models," DES - Working Papers. Statistics and Econometrics. WS ws140202, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Giovanni Fonseca & Federica Giummolè & Paolo Vidoni, 2021. "A note on simultaneous calibrated prediction intervals for time series," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 30(1), pages 317-330, March.
- Fresoli, Diego & Ruiz, Esther & Pascual, Lorenzo, 2015. "Bootstrap multi-step forecasts of non-Gaussian VAR models," International Journal of Forecasting, Elsevier, vol. 31(3), pages 834-848.
- Skrobotov, Anton (Скроботов, Антон) & Turuntseva, Marina (Турунцева, Марина), 2015. "Theoretical Aspects of Modeling of the SVAR [Теоретические Аспекты Моделирования Svar]," Published Papers mak8, Russian Presidential Academy of National Economy and Public Administration.
- Paolo Vidoni, 2017. "Improved multivariate prediction regions for Markov process models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 26(1), pages 1-18, March.
- Jordà, Òscar & Knüppel, Malte & Marcellino, Massimiliano, 2013.
"Empirical simultaneous prediction regions for path-forecasts,"
International Journal of Forecasting, Elsevier, vol. 29(3), pages 456-468.
- Òscar Jordà & Malte Knuppel & Massimiliano Marcellino, 2012. "Empirical simultaneous prediction regions for path-forecasts," Working Paper Series 2012-05, Federal Reserve Bank of San Francisco.
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More about this item
Keywords
Generalized error rates; path forecast; simultaneous prediction intervals;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2012-03-08 (Econometrics)
- NEP-ETS-2012-03-08 (Econometric Time Series)
- NEP-FOR-2012-03-08 (Forecasting)
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