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Type	Working Paper
Scope	Discipline-based scholarship
Title	Bootstrap joint prediction regions
Organization Unit	Econometrics and Applied Statistics (Michael Wolf)
Authors	Michael Wolf Dan Wunderli
Language	English
Institution	University of Zurich
Series Name	Working paper series / Department of Economics
Number	64
ISSN	1664-7041
Number of Pages	39
Date	2013
Abstract Text	Many statistical applications require the forecast of a random variable of interest over several periods into the future. The sequence of individual forecasts, one period at a time, is called a path forecast, where the term path refers to the sequence of individual future realizations of the random variable. The problem of constructing a corresponding joint prediction region has been rather neglected in the literature so far: such a region is supposed to contain the entire future path with a prespecified probability. We develop bootstrap methods to construct joint prediction regions. The resulting regions are proven to be asymptotically consistent under a mild high-level assumption. We compare the finitesample performance of our joint prediction regions to some previous proposals via Monte Carlo simulations. An empirical application to a real data set is also provided.
Official URL	http://www.econ.uzh.ch/static/wp/econwp064.pdf
Related URLs	http://www.econ.uzh.ch/static/workingpapers.php
PDF File	Download from ZORA
Export	BibTeX EP3 XML (ZORA)
Keywords	Generalized error rates, path forecast, simultaneous prediction intervals, Prognose, Prognoseverfahren
Additional Information	Revised version