UNCERTAINTY AND DENSITY FORECASTS OF ARMA MODELS: COMPARISON OF ASYMPTOTIC, BAYESIAN, AND BOOTSTRAP PROCEDURES

UNCERTAINTY AND DENSITY FORECASTS OF ARMA MODELS: COMPARISON OF ASYMPTOTIC, BAYESIAN, AND... The objective of this paper is to analyze the effects of uncertainty on density forecasts of stationary linear univariate ARMA models. We consider three specific sources of uncertainty: parameter estimation, error distribution, and lag order. Depending on the estimation sample size and the forecast horizon, each of these sources may have different effects. We consider asymptotic, Bayesian, and bootstrap procedures proposed to deal with uncertainty and compare their finite sample properties. The results are illustrated constructing fan charts for UK inflation. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Economic Surveys Wiley

UNCERTAINTY AND DENSITY FORECASTS OF ARMA MODELS: COMPARISON OF ASYMPTOTIC, BAYESIAN, AND BOOTSTRAP PROCEDURES

Loading next page...
 
/lp/wiley/uncertainty-and-density-forecasts-of-arma-models-comparison-of-ckvvwjdflB
Publisher
Wiley Subscription Services, Inc., A Wiley Company
Copyright
Copyright © 2018 John Wiley & Sons Ltd.
ISSN
0950-0804
eISSN
1467-6419
D.O.I.
10.1111/joes.12197
Publisher site
See Article on Publisher Site

Abstract

The objective of this paper is to analyze the effects of uncertainty on density forecasts of stationary linear univariate ARMA models. We consider three specific sources of uncertainty: parameter estimation, error distribution, and lag order. Depending on the estimation sample size and the forecast horizon, each of these sources may have different effects. We consider asymptotic, Bayesian, and bootstrap procedures proposed to deal with uncertainty and compare their finite sample properties. The results are illustrated constructing fan charts for UK inflation.

Journal

Journal of Economic SurveysWiley

Published: Jan 1, 2018

Keywords: ; ; ; ;

References

You’re reading a free preview. Subscribe to read the entire article.


DeepDyve is your
personal research library

It’s your single place to instantly
discover and read the research
that matters to you.

Enjoy affordable access to
over 18 million articles from more than
15,000 peer-reviewed journals.

All for just $49/month

Explore the DeepDyve Library

Search

Query the DeepDyve database, plus search all of PubMed and Google Scholar seamlessly

Organize

Save any article or search result from DeepDyve, PubMed, and Google Scholar... all in one place.

Access

Get unlimited, online access to over 18 million full-text articles from more than 15,000 scientific journals.

Your journals are on DeepDyve

Read from thousands of the leading scholarly journals from SpringerNature, Elsevier, Wiley-Blackwell, Oxford University Press and more.

All the latest content is available, no embargo periods.

See the journals in your area

DeepDyve

Freelancer

DeepDyve

Pro

Price

FREE

$49/month
$360/year

Save searches from
Google Scholar,
PubMed

Create lists to
organize your research

Export lists, citations

Read DeepDyve articles

Abstract access only

Unlimited access to over
18 million full-text articles

Print

20 pages / month

PDF Discount

20% off