Generating prediction bands for path forecasts from SETAR models

DOI10.1515/snde-2016-0066OpenAlexW2737166358MaRDI QIDQ2691726

Daniel Grabowski, Anna Staszewska-Bystrova, Peter Winker

Publication date: 30 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2016-0066

zbMATH Keywords

threshold acceptingbootstrappingSETAR modelsprediction bandspath forecasts

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

Skewness-adjusted bootstrap confidence intervals and confidence bands for impulse response functions

Uses Software

• TSA

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Improved bootstrap prediction intervals for SETAR models
• Threshold accepting: A general purpose optimization algorithm appearing superior to simulated annealing
• Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
• Bootstrap prediction bands for forecast paths from vector autoregressive models
• A threshold AR(1) model
• Bootstrap Prediction Intervals for Autoregression
• ON THE CONSISTENCY OF LEAST SQUARES ESTIMATORS FOR A THRESHOLD AR(1) MODEL
• The Bias of Autoregressive Coefficient Estimators
• Bootstrap order selection for SETAR models
• Bootstrap Joint Prediction Regions
• Unit root tests in three‐regime SETAR models
• Nonlinear and nonparametric modeling approaches for probabilistic forecasting of the US gross national product

This page was built for publication: Generating prediction bands for path forecasts from SETAR models