BootBC {BootPR}R Documentation

Bootstrap bias-corrected estimation and forecasting for AR models

Description

This function returns bias-corrected parameter estimates and forecasts for univariate AR models.

Usage

BootBC(x, p, h, nboot, type)

Arguments

x

a time series data set

p

AR order

h

the number of forecast period

nboot

number of bootstrap iterations

type

"const" for the AR model with intercept only, "const+trend" for the AR model with intercept and trend

Value

coef

Bootstrap bias-corrected parameter estimates

resid

residuals

forecast

point forecasts from bootstrap bias-corrected parameter estimates

Author(s)

Jae H. Kim

References

Kim, J.H., 2003, Forecasting Autoregressive Time Series with Bias-Corrected Parameter Estimators, International Journal of Forecasting, 19, 493-502.

Kilian, L. (1998a). Small sample confidence intervals for impulse response functions. The Review of Economics and Statistics, 80,218-230.

Examples

data(IPdata)
BootBC(IPdata,p=1,h=10,nboot=100,type="const+trend")

[Package BootPR version 0.60 Index]