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Bootstrapping prediction intervals for autoregressive models

✍ Scribed by Michael P. Clements; Nick Taylor


Book ID
114174641
Publisher
Elsevier Science
Year
2001
Tongue
English
Weight
155 KB
Volume
17
Category
Article
ISSN
0169-2070

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## Abstract Recent studies on bootstrap prediction intervals for autoregressive (AR) model provide simulation findings when the lag order is known. In practical applications, however, the AR lag order is unknown or can even be infinite. This paper is concerned with prediction intervals for AR model

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## Abstract This paper proposes the use of the bias‐corrected bootstrap for interval forecasting of an autoregressive time series with an arbitrary number of deterministic components. We use the bias‐corrected bootstrap based on two alternative bias‐correction methods: the bootstrap and an analytic