BootAfterBootPI: Bootstrap-after-Bootstrap Prediction

In BootPR: Bootstrap Prediction Intervals and Bias-Corrected Forecasting

Bootstrap-after-Bootstrap Prediction

Description

This function calculates bootstrap-after-bootstrap prediction intervals and bootstrap bias-corrected point forecasts

Usage

BootAfterBootPI(x, p, h, nboot, prob, type)

Arguments

x	a time series data set
p	AR order
h	the number of forecast periods
nboot	number of bootstrap iterations
prob	a vector of probabilities
type	"const" for the AR model with intercept only, "const+trend" for the AR model with intercept and trend

Value

PI	prediction intervals
forecast	bias-corrected point forecasts

Author(s)

Jae H. Kim

References

Kim, J.H., 2001, Bootstrap-after-Bootstrap Prediction Intervals for Autoregressive Models, Journal of Business & Economic Statistics 19, 117-128

Kilian, L. (1998). Small sample confidence intervals for impulse response functions. The Review of Economics and Statistics, 80,218-230.

Examples

data(IPdata)
BootAfterBootPI(IPdata,p=1,h=10,nboot=100,prob=c(0.05,0.95),type="const+trend")

BootPR documentation built on Aug. 31, 2023, 9:08 a.m.