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Bootstrap prediction intervals for autoregressions
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Cited by:
- Jeremy Berkowitz & Lutz Kilian, 2000.
"Recent developments in bootstrapping time series,"
Econometric Reviews, Taylor & Francis Journals, vol. 19(1), pages 1-48.
- Jeremy Berkowitz & Lutz Kilian, "undated". "Recent Developments in Bootstrapping Time Series," Finance and Economics Discussion Series 1996-45, Board of Governors of the Federal Reserve System (U.S.), revised 10 Dec 2019.
- Jeremy Berkowitz & Lutz Kilian, 1996. "Recent developments in bootstrapping time series," Finance and Economics Discussion Series 96-45, Board of Governors of the Federal Reserve System (U.S.).
- Jae H. Kim, 2004. "Bias-corrected bootstrap prediction regions for vector autoregression," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(2), pages 141-154.
- Clements, Michael P. & Taylor, Nick, 2001. "Bootstrapping prediction intervals for autoregressive models," International Journal of Forecasting, Elsevier, vol. 17(2), pages 247-267.
- Pascual, Lorenzo & Romo, Juan & Ruiz, Esther, 2001.
"Effects of parameter estimation on prediction densities: a bootstrap approach,"
International Journal of Forecasting, Elsevier, vol. 17(1), pages 83-103.
- Pascual, Lorenzo, 1999. "Effects of parameter estimation on prediction densities a bootstrap approach," DES - Working Papers. Statistics and Econometrics. WS 6304, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Lorenzo Pascual & Juan Romo & Esther Ruiz, 2004.
"Bootstrap predictive inference for ARIMA processes,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 25(4), pages 449-465, July.
- Pascual, Lorenzo, 1999. "Bootstrap Predictive Inference for Arima Processes," DES - Working Papers. Statistics and Econometrics. WS 6283, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Felix Wick & Ulrich Kerzel & Martin Hahn & Moritz Wolf & Trapti Singhal & Daniel Stemmer & Jakob Ernst & Michael Feindt, 2021. "Demand Forecasting of Individual Probability Density Functions with Machine Learning," SN Operations Research Forum, Springer, vol. 2(3), pages 1-39, September.
- Chan, W.S & Cheung, S.H & Wu, K.H, 2004. "Multiple forecasts with autoregressive time series models: case studies," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 64(3), pages 421-430.
- Pan, Li & Politis, Dimitris N., 2016. "Bootstrap prediction intervals for Markov processes," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 467-494.
- Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022.
"Forecasting: theory and practice,"
International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
- Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
- Chatfield, Chris, 1995. "Positive or negative?," International Journal of Forecasting, Elsevier, vol. 11(4), pages 501-502, December.
- Clements, Michael P. & Kim, Jae H., 2007. "Bootstrap prediction intervals for autoregressive time series," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3580-3594, April.
- Walde, J. F. & Tappeiner, G. & Tappeiner, U. & Tasser, E. & Holub, H. W., 2004. "Statistical aspects of multilayer perceptrons under data limitations," Computational Statistics & Data Analysis, Elsevier, vol. 46(1), pages 173-188, May.
- Helmut Lütkepohl, 2013.
"Vector autoregressive models,"
Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 6, pages 139-164,
Edward Elgar Publishing.
- Helmut Luetkepohl, 2011. "Vector Autoregressive Models," Economics Working Papers ECO2011/30, European University Institute.
- De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.
- Kim, Jae H., 2004. "Bootstrap prediction intervals for autoregression using asymptotically mean-unbiased estimators," International Journal of Forecasting, Elsevier, vol. 20(1), pages 85-97.
- 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.
- repec:cte:wsrepe:ws011409 is not listed on IDEAS
- 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.
- Li, Jing, 2011. "Bootstrap prediction intervals for SETAR models," International Journal of Forecasting, Elsevier, vol. 27(2), pages 320-332.
- Jan G. de Gooijer & Rob J. Hyndman, 2005.
"25 Years of IIF Time Series Forecasting: A Selective Review,"
Tinbergen Institute Discussion Papers
05-068/4, Tinbergen Institute.
- Jan G. De Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Monash Econometrics and Business Statistics Working Papers 12/05, Monash University, Department of Econometrics and Business Statistics.
- Liew, Venus Khim-Sen, 2008. "An overview on various ways of bootstrap methods," MPRA Paper 7163, University Library of Munich, Germany.
- Anna Staszewska‐Bystrova, 2011. "Bootstrap prediction bands for forecast paths from vector autoregressive models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(8), pages 721-735, December.
- Andrés Alonso & Daniel Peña & Juan Romo, 2006. "Introducing model uncertainty by moving blocks bootstrap," Statistical Papers, Springer, vol. 47(2), pages 167-179, March.
- Jing, Li, 2009. "Bootstrap prediction intervals for threshold autoregressive models," MPRA Paper 13086, University Library of Munich, Germany.
- Ahmed, Wajid Shakeel & Sheikh, Jibran & Ur-Rehman, Kashif & Shafi, khuram & Shad, Shafqat Ali & Butt, Faisal Shafique, 2020. "New continuum of stochastic static forecasting model for mutual funds at investment policy level," Chaos, Solitons & Fractals, Elsevier, vol. 132(C).
- Pan, Li & Politis, Dimitris N, 2014. "Bootstrap prediction intervals for linear, nonlinear, and nonparametric autoregressions," University of California at San Diego, Economics Working Paper Series qt67h5s74t, Department of Economics, UC San Diego.
- Kim, Jae H., 1999. "Asymptotic and bootstrap prediction regions for vector autoregression," International Journal of Forecasting, Elsevier, vol. 15(4), pages 393-403, October.
- Helmut Lütkepohl, 2010.
"Forecasting Aggregated Time Series Variables: A Survey,"
OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2010(2), pages 1-26.
- Helmut Luetkepohl, 2009. "Forecasting Aggregated Time Series Variables: A Survey," Economics Working Papers ECO2009/17, European University Institute.
- Yuan Gao & Han Lin Shang, 2017. "Multivariate Functional Time Series Forecasting: Application to Age-Specific Mortality Rates," Risks, MDPI, vol. 5(2), pages 1-18, March.
- Anna Staszewska-Bystrova, 2009. "Bootstrap Confidence Bands for Forecast Paths," Working Papers 024, COMISEF.
- Li, Jing, 2011. "Bootstrap prediction intervals for SETAR models," International Journal of Forecasting, Elsevier, vol. 27(2), pages 320-332, April.
- Grigoletto, Matteo, 1998. "Bootstrap prediction intervals for autoregressions: some alternatives," International Journal of Forecasting, Elsevier, vol. 14(4), pages 447-456, December.
- 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 EstadÃstica.
- 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.
- Lam, J. -P. & Veall, M. R., 2002. "Bootstrap prediction intervals for single period regression forecasts," International Journal of Forecasting, Elsevier, vol. 18(1), pages 125-130.
- Erol Eğrioğlu & Robert Fildes, 2022. "A New Bootstrapped Hybrid Artificial Neural Network Approach for Time Series Forecasting," Computational Economics, Springer;Society for Computational Economics, vol. 59(4), pages 1355-1383, April.