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Infinite-order, long-memory heterogeneous autoregressive models

✍ Scribed by Hwang, Eunju; Shin, Dong Wan

Book ID: 122898258
Publisher: Elsevier Science
Year: 2014
Tongue: English
Weight: 994 KB
Volume: 76
Category: Article
ISSN: 0167-9473
DOI: 10.1016/j.csda.2013.08.009

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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