Bootstrap Joint Prediction Regions

University of Zurich Department of Economics Working Paper No. 64

40 Pages Posted: 1 Mar 2012 Last revised: 8 May 2013

See all articles by Michael Wolf

Michael Wolf

University of Zurich - Department of Economics

Dan Wunderli

University of Zurich - Department of Economics; Swiss National Bank

Date Written: May 2013

Abstract

Many statistical applications require the forecast of a random variable of interest over several periods into the future. The sequence of individual forecasts, one period at a time, is called a path forecast, where the term path refers to the sequence of individual future realizations of the random variable. The problem of constructing a corresponding joint prediction region has been rather neglected in the literature so far: such a region is supposed to contain the entire future path with a prespecified probability. We develop bootstrap methods to construct joint prediction regions. The resulting regions are proven to be asymptotically consistent under a mild high-level assumption. We compare the finitesample performance of our joint prediction regions to some previous proposals via Monte Carlo simulations. An empirical application to a real data set is also provided.

Keywords: Generalized error rates, path forecast, simultaneous prediction intervals

JEL Classification: C14, C32, C53

Suggested Citation

Wolf, Michael and Wunderli, Dan, Bootstrap Joint Prediction Regions (May 2013). University of Zurich Department of Economics Working Paper No. 64, Available at SSRN: https://ssrn.com/abstract=2013187 or http://dx.doi.org/10.2139/ssrn.2013187

Michael Wolf (Contact Author)

University of Zurich - Department of Economics ( email )

Wilfriedstrasse 6
Zurich, 8032
Switzerland

Dan Wunderli

University of Zurich - Department of Economics ( email )

Zürich, CH-8006
Switzerland
+41 44 634 37 38 (Phone)

HOME PAGE: http://web.mac.com/dan.wunderli

Swiss National Bank

Research
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Zuerich, 8022
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