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Uncertainty and density forecasts of ARMA models: comparison of asymptotic, bayesian and bootstrap procedures

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dc.affiliation.dptoUC3M. Departamento de Estadísticaes
dc.contributor.authorGonçalves Mazzeu, Joao Henrique
dc.contributor.authorRuiz Ortega, Esther
dc.contributor.authorLopes Moreira Da Veiga, María Helena
dc.contributor.funderMinisterio de Economía y Competitividad (España)es
dc.date.accessioned2022-05-31T15:43:51Z
dc.date.available2022-05-31T15:43:51Z
dc.date.issued2018-04-01
dc.description.abstractThe 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.en
dc.description.sponsorshipWe thank the Spanish Government, research projects ECO2015–237033–C2–2–R and ECO2015–65701–P(MINECO/FEDER), for financial supporen
dc.identifier.bibliographicCitationGonçalves Mazzeu, J.H., Ruiz, E., & Veiga, H. (2018).Uncertainty and density forecasts of arma models: comparison os asymptotic, bayesian, and bootstrap procedures. Journal of Economic Surveys, 32 (2), pp. 388–419.en
dc.identifier.doihttps://doi.org/10.1111/joes.12197
dc.identifier.issn0950-0804
dc.identifier.publicationfirstpage388es
dc.identifier.publicationissue2es
dc.identifier.publicationlastpage419es
dc.identifier.publicationtitleJOURNAL OF ECONOMIC SURVEYSen
dc.identifier.publicationvolume32es
dc.identifier.urihttps://hdl.handle.net/10016/34948
dc.identifier.uxxiAR/0000023231
dc.language.isoenges
dc.publisherWileyes
dc.relation.projectIDGobierno de España. ECO2015–237033–C2–2–Res
dc.relation.projectIDGobierno de España. ECO2015–65701–Pes
dc.rights© 2017 John Wiley & Sons Ltd.en
dc.rights.accessRightsopen accessen
dc.subject.ecienciaEstadísticaes
dc.subject.otherBayesian forecasten
dc.subject.otherBootstrapen
dc.subject.otherFan chartsen
dc.subject.otherParameter uncertaintyen
dc.subject.otherModel misspecificationen
dc.titleUncertainty and density forecasts of ARMA models: comparison of asymptotic, bayesian and bootstrap proceduresen
dc.typeresearch article*
dc.type.hasVersionAM*
dspace.entity.typePublication
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