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Comparing several methods to compute joint prediction regions for path forecasts generated by vector autoregressions


Bruder, Stefan (2015). Comparing several methods to compute joint prediction regions for path forecasts generated by vector autoregressions. Working paper series / Department of Economics 181, University of Zurich.

Abstract

Path forecasts, defined as sequences of individual forecasts, generated by vector autoregressions are widely used in applied work. It has been recognized that a profound econometric analysis often requires, besides the path forecast, a joint prediction region that contains the whole future path with a prespecified coverage probability. The forecasting literature offers several different methods for computing joint prediction regions, where the existing methods are either bootstrap based or rely on asymptotic results. The aim of this paper is to investigate the finite-sample performance of three methods for constructing joint prediction regions in various scenarios via Monte Carlo simulations.

Abstract

Path forecasts, defined as sequences of individual forecasts, generated by vector autoregressions are widely used in applied work. It has been recognized that a profound econometric analysis often requires, besides the path forecast, a joint prediction region that contains the whole future path with a prespecified coverage probability. The forecasting literature offers several different methods for computing joint prediction regions, where the existing methods are either bootstrap based or rely on asymptotic results. The aim of this paper is to investigate the finite-sample performance of three methods for constructing joint prediction regions in various scenarios via Monte Carlo simulations.

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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
Dewey Decimal Classification:330 Economics
JEL Classification:C15, C32, C53
Uncontrolled Keywords:Path forecast, joint prediction region, Monte Carlo simulation
Language:English
Date:December 2015
Deposited On:25 Nov 2014 14:23
Last Modified:15 Aug 2017 19:12
Series Name:Working paper series / Department of Economics
Number of Pages:29
ISSN:1664-7041
Additional Information:Revised version
Official URL:http://www.econ.uzh.ch/static/wp/econwp181.pdf
Related URLs:http://www.econ.uzh.ch/static/workingpapers-new.php

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