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Permanent URL to this publication: http://dx.doi.org/10.5167/uzh-60385

Wolf, Michael; Wunderli, Dan (2013). Bootstrap joint prediction regions. Working paper series / Department of Economics 64, University of Zurich.

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Abstract

Many statistical applications require the forecast of a random variable of interest over several periods into the future. The sequence of individual forecasts, one period at a time, is called a path forecast, where the term path refers to the sequence of individual future realizations of the random variable. The problem of constructing a corresponding joint prediction region has been rather neglected in the literature so far: such a region is supposed to contain the entire future path with a prespecified probability. We develop bootstrap methods to construct joint prediction regions. The resulting regions are proven to be asymptotically consistent under a mild high-level assumption. We compare the finitesample performance of our joint prediction regions to some previous proposals via Monte Carlo simulations. An empirical application to a real data set is also provided.

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Additional indexing

Item Type:Working Paper
Communities & Collections:03 Faculty of Economics > Department of Economics
Working Paper Series > Department of Economics
DDC:330 Economics
JEL Classification:C14, C32, C53
Uncontrolled Keywords:Generalized error rates, path forecast, simultaneous prediction intervals
Language:English
Date:May 2013
Deposited On:24 Feb 2012 12:34
Last Modified:08 May 2013 10:10
Series Name:Working paper series / Department of Economics
Number of Pages:39
ISSN:1664-7041
Additional Information:Revised version
Official URL:http://www.econ.uzh.ch/static/wp/econwp064.pdf
Related URLs:http://www.econ.uzh.ch/static/workingpapers.php

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