Publication:
Bootstrap prediction intervals in State Space models

Simple item page
dc.affiliation.dptoUC3M. Departamento de Estadísticaes
dc.contributor.authorRodríguez, Alejandro
dc.contributor.authorRuiz Ortega, Esther
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned2008-03-06T09:09:24Z
dc.date.available2008-03-06T09:09:24Z
dc.date.issued2008-03
dc.description.abstractPrediction intervals in State Space models can be obtained by assuming Gaussian innovations and using the prediction equations of the Kalman filter, where the true parameters are substituted by consistent estimates. This approach has two limitations. First, it does not incorporate the uncertainty due to parameter estimation. Second, the Gaussianity assumption of future innovations may be inaccurate. To overcome these drawbacks, Wall and Stoffer (2002) propose to obtain prediction intervals by using a bootstrap procedure that requires the backward representation of the model. Obtaining this representation increases the complexity of the procedure and limits its implementation to models for which it exists. The bootstrap procedure proposed by Wall and Stoffer (2002) is further complicated by fact that the intervals are obtained for the prediction errors instead of for the observations. In this paper, we propose a bootstrap procedure for constructing prediction intervals in State Space models that does not need the backward representation of the model and is based on obtaining the intervals directly for the observations. Therefore, its application is much simpler, without loosing the good behavior of bootstrap prediction intervals. We study its finite sample properties and compare them with those of the standard and the Wall and Stoffer (2002) procedures for the Local Level Model. Finally, we illustrate the results by implementing the new procedure to obtain prediction intervals for future values of a real time series.
dc.format.mimetypeapplication/pdf
dc.identifier.repecws081104
dc.identifier.urihttps://hdl.handle.net/10016/1993
dc.language.isoeng
dc.language.isoeng
dc.relation.ispartofseriesUC3M Working papers. Statistics and Econometrics
dc.relation.ispartofseries08-04
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEstadística
dc.subject.otherBackward representation
dc.subject.otherKalman filter
dc.subject.otherLocal Level Model
dc.subject.otherUnobserved Components
dc.titleBootstrap prediction intervals in State Space models
dc.typeworking paper*
dspace.entity.typePublication
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
ws081104.pdf
Size:
321.45 KB
Format:
Adobe Portable Document Format
Description:
Download
Collections
DES - Working Papers. Statistics and Econometrics. WS
Economists Online