Discussion of ``Bootstrap prediction intervals for linear, nonlinear, and nonparametric autoregressions, by Li Pan and Dimitris Politis
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Publication:301351
DOI10.1016/j.jspi.2015.10.013zbMath1353.62096OpenAlexW2274508215MaRDI QIDQ301351
Benoit Perron, Sílvia Gonçalves
Publication date: 30 June 2016
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2015.10.013
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)
Cites Work
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
- Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
- Forecasting Using Principal Components From a Large Number of Predictors
- Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
- Inferential Theory for Factor Models of Large Dimensions
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