Semiparametric forecast intervals
β
Jason J. Wu
π
Article
π
2010
π
John Wiley and Sons
π
English
β 391 KB
Consider forecasting the economic variable Y t+h with predictors X t , where h is the forecast horizon. This paper introduces a semiparametric method that generates forecast intervals of Y t+h |X t from point forecast models. First, the point forecast model is estimated, thereby taking advantage of