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Using the Bootstrap as an Aid in Choosing the Approximate Representation for Vector Time Series

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  • Penm, Jack H W
  • Penm, Jammie H
  • Terrell, R D

Abstract

In this article, a procedure is presented to use the bootstrap in choosing the best approximation in terms of forecasting performance for the equivalent state-space representation of a vector autoregressive model. It is found that the proposed procedure, which uses each approximator's forecasting performance, can enhance considerably an approach based simply on the estimated Hankel singular values.

Suggested Citation

  • Penm, Jack H W & Penm, Jammie H & Terrell, R D, 1992. "Using the Bootstrap as an Aid in Choosing the Approximate Representation for Vector Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(2), pages 213-219, April.
    • Handle: RePEc:bes:jnlbes:v:10:y:1992:i:2:p:213-19
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    Cited by:

    1. Tim Brailsford & Jack H.W. Penm & R. Deane Terrell, 2001. "The Adjustment of the Yule-Walker Relations in VAR Modeling: The Impact of the Euro on the Hong Kong Stock Market," Multinational Finance Journal, Multinational Finance Journal, vol. 5(1), pages 35-58, March.
    2. Hsu, Nan-Jung & Hung, Hung-Lin & Chang, Ya-Mei, 2008. "Subset selection for vector autoregressive processes using Lasso," Computational Statistics & Data Analysis, Elsevier, vol. 52(7), pages 3645-3657, March.
    3. Ren, Yunwen & Xiao, Zhiguo & Zhang, Xinsheng, 2013. "Two-step adaptive model selection for vector autoregressive processes," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 349-364.

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