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A bootstrap-based non-parametric forecast density

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  • Manzan, Sebastiano
  • Zerom, Dawit

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  • Manzan, Sebastiano & Zerom, Dawit, 2008. "A bootstrap-based non-parametric forecast density," International Journal of Forecasting, Elsevier, vol. 24(3), pages 535-550.
    • Handle: RePEc:eee:intfor:v:24:y:2008:i:3:p:535-550
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    1. Clements, Michael P. & Smith, Jeremy, 1997. "The performance of alternative forecasting methods for SETAR models," International Journal of Forecasting, Elsevier, vol. 13(4), pages 463-475, December.
    2. M. Rajarshi, 1990. "Bootstrap in Markov-sequences based on estimates of transition density," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 42(2), pages 253-268, June.
    3. De Gooijer, Jan G. & Kumar, Kuldeep, 1992. "Some recent developments in non-linear time series modelling, testing, and forecasting," International Journal of Forecasting, Elsevier, vol. 8(2), pages 135-156, October.
    4. Timo Teräsvirta & Chien‐Fu Lin & Clive W. J. Granger, 1993. "Power Of The Neural Network Linearity Test," Journal of Time Series Analysis, Wiley Blackwell, vol. 14(2), pages 209-220, March.
    5. Valentina Corradi & Norman Swanson, 2006. "Predictive Density Evaluation. Revised," Departmental Working Papers 200621, Rutgers University, Department of Economics.
    6. Jan G. De Gooijer & Dawit Zerom, 2003. "On Conditional Density Estimation," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 57(2), pages 159-176, May.
    7. Corradi, Valentina & Swanson, Norman R., 2006. "Predictive Density Evaluation," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 5, pages 197-284, Elsevier.
    8. K. S. Chan, 2004. "Testing for multimodality with dependent data," Biometrika, Biometrika Trust, vol. 91(1), pages 113-123, March.
    9. Paparoditis, Efstathios & Politis, Dimitris N., 2001. "A Markovian Local Resampling Scheme For Nonparametric Estimators In Time Series Analysis," Econometric Theory, Cambridge University Press, vol. 17(3), pages 540-566, June.
    10. Joel L. Horowitz, 2003. "Bootstrap Methods for Markov Processes," Econometrica, Econometric Society, vol. 71(4), pages 1049-1082, July.
    11. Dick van Dijk & Philip Hans Franses & Michael P. Clements & Jeremy Smith, 2003. "On SETAR non-linearity and forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(5), pages 359-375.
    12. Fan, Jianqing & Yao, Qiwei & Tong, Howell, 1996. "Estimation of conditional densities and sensitivity measures in nonlinear dynamical systems," LSE Research Online Documents on Economics 6704, London School of Economics and Political Science, LSE Library.
    13. Boero, Gianna & Marrocu, Emanuela, 2002. "The Performance of Non-linear Exchange Rate Models: A Forecasting Comparison," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 21(7), pages 513-542, November.
    14. Yongmiao Hong & Haitao Li & Feng Zhao, 2004. "Out-of-Sample Performance of Discrete-Time Spot Interest Rate Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 457-473, October.
    15. Clements, Michael P. & Smith, Jeremy, 2001. "Evaluating forecasts from SETAR models of exchange rates," Journal of International Money and Finance, Elsevier, vol. 20(1), pages 133-148, February.
    16. Pesaran, M. Hashem & Potter, Simon M., 1997. "A floor and ceiling model of US output," Journal of Economic Dynamics and Control, Elsevier, vol. 21(4-5), pages 661-695, May.
    17. Siliverstovs, B. & van Dijk, D.J.C., 2003. "Forecasting industrial production with linear, nonlinear, and structural change models," Econometric Institute Research Papers EI 2003-16, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
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    Cited by:

    1. João Henrique G. Mazzeu & Gloria González-Rivera & Esther Ruiz & Helena Veiga, 2020. "A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities," Econometric Reviews, Taylor & Francis Journals, vol. 39(10), pages 971-990, November.
    2. Juan Díaz Maureira & Gustavo Leyva Jiménez, 2009. "Proyección de la inflación chilena en tiempos difíciles," Monetaria, CEMLA, vol. 0(4), pages 491-522, octubre-d.
    3. João Henrique Gonçalves Mazzeu & Esther Ruiz & Helena Veiga, 2018. "Uncertainty And Density Forecasts Of Arma Models: Comparison Of Asymptotic, Bayesian, And Bootstrap Procedures," Journal of Economic Surveys, Wiley Blackwell, vol. 32(2), pages 388-419, April.
    4. Ricardo Gimeno & José Manuel Marqués-Sevillano, 2009. "Incertidumbre y el precio del riesgo en un proceso de convergencia nominal," Monetaria, CEMLA, vol. 0(4), pages 451-489, octubre-d.
    5. Juan Carlos Pérez-Velasco Pavón, 2009. "Determinantes de la demanda por la denominación promedio de billete: el caso de México," Monetaria, CEMLA, vol. 0(4), pages 523-548, octubre-d.
    6. George Athanasopoulos & Puwasala Gamakumara & Anastasios Panagiotelis & Rob J Hyndman & Mohamed Affan, 2019. "Hierarchical Forecasting," Monash Econometrics and Business Statistics Working Papers 2/19, Monash University, Department of Econometrics and Business Statistics.
    7. Veiga, Helena, 2015. "Model uncertainty and the forecast accuracy of ARMA models: A survey," DES - Working Papers. Statistics and Econometrics. WS ws1508, Universidad Carlos III de Madrid. Departamento de Estadística.
    8. Andrés Schneider, 2009. "Regímenes de flotación administrada: un enfoque de cartera," Monetaria, CEMLA, vol. 0(4), pages 549-584, octubre-d.
    9. Dimitris N. Politis & Kejin Wu, 2023. "Multi-Step-Ahead Prediction Intervals for Nonparametric Autoregressions via Bootstrap: Consistency, Debiasing, and Pertinence," Stats, MDPI, vol. 6(3), pages 1-29, August.

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