BootAfterBootPI {BootPR} | R Documentation |
This function calculates bootstrap-after-bootstrap prediction intervals and bootstrap bias-corrected point forecasts
BootAfterBootPI(x, p, h, nboot, prob, type, correct)
x |
a time series data set |
p |
AR order |
h |
the number of forecast periods |
nboot |
number of bootstrap iterations |
prob |
a vector of probabilities |
type |
"const" for the AR model with intercept only, "const+trend" for the AR model with intercept and trend |
correct |
"kilian" for Kilian's stationarity-correction, "ssf" for stationarity-correction based on stable spectral factorization |
PI |
prediction intervals |
forecast |
bias-corrected point forecasts |
Contact the author for the details of the stationarity-correction based on stable spectral factorization
Jae H. Kim
Kim, J.H., 2001, Bootstrap-after-Bootstrap Prediction Intervals for Autoregressive Models, Journal of Business & Economic Statistics 19, 117-128
Kilian, L. (1998). Small sample confidence intervals for impulse response functions. The Review of Economics and Statistics, 80,218-230.
data(IPdata) BootAfterBootPI(IPdata,p=6,h=10,nboot=1000,prob=c(0.5,0.95),type="const+trend",correct="ssf")