Bias-corrected bootstrap prediction intervals for autoregressive model: new alternatives with applications to tourism forecasting

@inproceedings{Kim2010BiascorrectedBP,
  title={Bias-corrected bootstrap prediction intervals for autoregressive model: new alternatives with applications to tourism forecasting},
  author={Jae ho Kim and Haiyan Song and Kevin K. F. Wong},
  year={2010}
}
This paper proposes the use of the bias-corrected bootstrap for interval forecasting of an autoregressive time series with an arbitrary number of deterministic components. We use the bias-corrected bootstrap based on two alternative bias-correction methods: the bootstrap and an analytic formula based on asymptotic expansion. We also propose a new stationarity-correction method, based on stable spectral factorization, as an alternative to Kilian's method exclusively used in past studies. A Monte… CONTINUE READING

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