BootAfterBootPI {BootPR}R Documentation

Bootstrap-after-Bootstrap Prediction

Description

This function calculates bootstrap-after-bootstrap prediction intervals and bootstrap bias-corrected point forecasts

Usage

BootAfterBootPI(x, p, h, nboot, prob, type, correct)

Arguments

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

Value

PI prediction intervals
forecast bias-corrected point forecasts

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., 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.

Examples

data(IPdata)
BootAfterBootPI(IPdata,p=6,h=10,nboot=1000,prob=c(0.5,0.95),type="const+trend",correct="ssf")

[Package BootPR version 0.56 Index]