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)

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

Value

PI

prediction intervals

forecast

bias-corrected point forecasts

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=1,h=10,nboot=100,prob=c(0.05,0.95),type="const+trend")

[Package BootPR version 0.60 Index]