Bias-correction and endogenous lag order algorithm for bootstrap prediction intervals. Discussion on: ``Bootstrap prediction intervals for linear, nonlinear and nonparametric autoregressions

DOI10.1016/J.JSPI.2015.10.015zbMath1353.62097OpenAlexW2174653272WikidataQ123121821 ScholiaQ123121821MaRDI QIDQ301353

F. Blanchet-Sadri, M. Dambrine

Publication date: 30 June 2016

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2015.10.015

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)

Related Items (1)

A three-state Markov-modulated switching model for exchange rates

Uses Software

• R
• BootPR

Cites Work

• A fixed point characterization for bias of autoregressive estimators
• Accounting for Lag Order Uncertainty in Autoregressions: the Endogenous Lag Order Bootstrap Algorithm
• Confidence intervals for impulse responses under departures from normality
• Strictly Proper Scoring Rules, Prediction, and Estimation

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