BootBC {BootPR}R Documentation

Bootstrap bias-corrected estimation and forecasting for AR models

Description

This function returns bias-corrected parameter estimates and forecasts for univariate AR models.

Usage

BootBC(x, p, h, nboot, type, correct)

Arguments

x a time series data set
p AR order
h the number of forecast period
nboot number of bootstrap iterations
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

Value

coef Bootstrap bias-corrected parameter estimates
resid residuals
forecast point forecasts from bootstrap bias-corrected parameter estimates

Note

Contact the author for the details of the stationarity-correction based on stable spectral factorization

Author(s)

Jae H. Kim

References

Kim, J.H., 2003, Forecasting Autoregressive Time Series with Bias-Corrected Parameter Estimators, International Journal of Forecasting, 19, 493-502.

Kilian, L. (1998a). Small sample confidence intervals for impulse response functions. The Review of Economics and Statistics, 80,218-230.

Examples

data(IPdata)
BootBC(IPdata,p=6,h=10,nboot=500,type="const+trend",correct="ssf")

[Package BootPR version 0.56 Index]