BootPI {BootPR}

Bootstrap prediction intevals and point forecasts with no bias-correction

Description

This function returns bootstrap forecasts and prediction intervals with no bias-correction

Usage

BootPI(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

Thombs, L. A., & Schucany, W. R. (1990). Bootstrap prediction intervals for autoregression. Journal of the American Statistical Association, 85, 486-492.

Examples

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