Improved bootstrap prediction intervals for SETAR models

Anna Staszewska-Bystrova and Peter Winker

Statistical Papers, 2016, vol. 57, issue 1, 89-98

Abstract: Improved implementations of previously suggested methods for constructing bootstrap prediction intervals for the self-exciting threshold autoregressive model are presented. The simulation results are compared with those reported by Li ( 2011 ). It is found that better estimates of actual coverage rates are obtained using the improved version of the methods. Copyright Springer-Verlag Berlin Heidelberg 2016

Keywords: Bootstrapping; Forecast path; Prediction intervals; SETAR models; 62F25; 62F40; 62J02; 62M10 (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1007/s00362-014-0643-1

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