Publication: Model uncertainty and the forecast accuracy of ARMA models: A survey
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2015-05-01
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Abstract
The objective of this paper is to analyze the effects of uncertainty on density
forecasts of linear univariate ARMA models. We consider three specific sources
of uncertainty: parameter estimation, error distribution and lag order. For
moderate sample sizes, as those usually encountered in practice, the most
important source of uncertainty is the error distribution. We consider alternative
procedures proposed to deal with each of these sources of uncertainty and
compare their finite properties by Monte Carlo experiments. In particular, we
analyze asymptotic, Bayesian and bootstrap procedures, including some very
recent procedures which have not been previously compared in the literature.
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Bayesian forecast, Bootstrap, Model misspecification, Parameter uncertainty, Bootstrap, Model misspecification, Parameter uncertainty