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Exact joint forecast regions for vector autoregressive models

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  • Wai-Sum Chan

Abstract

Assume that a k-element vector time series follows a vector autoregressive (VAR) model. Obtaining simultaneous forecasts of the k elements of the vector time series is an important problem. Based on the Bonferroni inequality, Lutkepohl (1991) derived the procedures which construct the conservative joint forecast regions for the VAR model. In this paper, we propose to use an exact method which provides shorter prediction intervals than does the Bonferroni method. Three illustrative examples are given for comparison of the various VAR forecasting procedures.

Suggested Citation

  • Wai-Sum Chan, 1999. "Exact joint forecast regions for vector autoregressive models," Journal of Applied Statistics, Taylor & Francis Journals, vol. 26(1), pages 35-44.
    • Handle: RePEc:taf:japsta:v:26:y:1999:i:1:p:35-44
    DOI: 10.1080/02664769922638
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