BootBC: Bootstrap bias-corrected estimation and forecasting for AR...

In BootPR: Bootstrap Prediction Intervals and Bias-Corrected Forecasting

Bootstrap bias-corrected estimation and forecasting for AR models

Description

This function returns bias-corrected parameter estimates and forecasts for univariate AR models.

Usage

BootBC(x, p, h, nboot, type)

Arguments

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

Value

coef	Bootstrap bias-corrected parameter estimates
resid	residuals
forecast	point forecasts from bootstrap bias-corrected parameter estimates

Author(s)

Jae H. Kim

References

Kim, J.H., 2003, Forecasting Autoregressive Time Series with Bias-Corrected Parameter Estimators, International Journal of Forecasting, 19, 493-502.

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

Examples

data(IPdata)
BootBC(IPdata,p=1,h=10,nboot=100,type="const+trend")

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