Article ID: | iaor20014246 |
Country: | Netherlands |
Volume: | 17 |
Issue: | 2 |
Start Page Number: | 247 |
End Page Number: | 267 |
Publication Date: | Apr 2001 |
Journal: | International Journal of Forecasting |
Authors: | Clements Michael P., Taylor Nick |
Methods of improving the coverage of Box–Jenkins prediction intervals for linear autoregressive models are explored. These methods use bootstrap techniques to allow for parameter estimation uncertainty and to reduce the small-sample bias in the estimator of the models' parameters. In addition, we also consider a method of bias-correcting the non-linear functions of the parameter estimates that are used to generate conditional multi-step predictions.