Generating prediction bands for path forecasts from SETAR models
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Publication:2691726
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
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
Cites Work
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- 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
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