Using the Bootstrap as an Aid in Choosing the Approximate Representation for Vector Time Series - Financial and Economic Forecasting (Chapter 6)
21 Pages Posted: 8 Jan 2003
Date Written: October 2002
Abstract
In this chapter, a procedure is presented to use the bootstrap in choosing the best approximation in terms of forecasting performance for the equivalent state-space representation of a vector autoregressive model. It is found that the proposed procedure, which uses each approximant's forecasting performance, can enhance considerably an approach based simply on the estimated Hankel singular values.
Keywords: Initial state vector, Model reduction, Subset vector autoregression
JEL Classification: C22, C53, E31
Suggested Citation: Suggested Citation
Do you have negative results from your research you’d like to share?
Recommended Papers
-
By Jack H.w. Penm, Jammie H. Penm, ...
-
Multivariate Subset Autoregression - Financial and Economic Forecasting (Chapter 3)
By Jack H.w. Penm, Jammie H. Penm, ...
-
By Jack H.w. Penm, Jammie H. Penm, ...
-
On the Recursive Fitting of Subset Autoregressions - Financial and Economic Forecasting (Chapter 1)
By Jack H.w. Penm, Jammie H. Penm, ...
-
By Jack H.w. Penm, Jammie H. Penm, ...
-
The Recursive Fitting of Subset VARX Models - Financial and Economic Forecasting (Chapter 8)
By Jack H.w. Penm, Jammie H. Penm, ...
-
By Peter Caines, C. W. Keng, ...
-
By Jack H.w. Penm, Jammie H. Penm, ...
-
By Jack H.w. Penm, Jammie H. Penm, ...
-
By Jack H.w. Penm, Jammie H. Penm, ...