Using the Bootstrap as an Aid in Choosing the Approximate Representation for Vector Time Series - Financial and Economic Forecasting (Chapter 6)

21 Pages Posted: 8 Jan 2003

See all articles by Jack H.W. Penm

Jack H.W. Penm

Australian National University - School of Finance and Applied Statistics, Faculty of Economics and Commerce

Jammie H. Penm

Independent

R. Deane Terrell

Australian National University (ANU) - National Graduate School of Management

Date Written: October 2002

Abstract

In this chapter, a procedure is presented to use the bootstrap in choosing the best approximation in terms of forecasting performance for the equivalent state-space representation of a vector autoregressive model. It is found that the proposed procedure, which uses each approximant's forecasting performance, can enhance considerably an approach based simply on the estimated Hankel singular values.

Keywords: Initial state vector, Model reduction, Subset vector autoregression

JEL Classification: C22, C53, E31

Suggested Citation

Penm, Jack and Penm, Jammie H. and Terrell, R. Deane, Using the Bootstrap as an Aid in Choosing the Approximate Representation for Vector Time Series - Financial and Economic Forecasting (Chapter 6) (October 2002). Available at SSRN: https://ssrn.com/abstract=358920 or http://dx.doi.org/10.2139/ssrn.358920

Jack Penm (Contact Author)

Australian National University - School of Finance and Applied Statistics, Faculty of Economics and Commerce ( email )

Canberra, Australian Capital Territory 0200
Australia
+61 (02) 61250535 (Phone)
+61 (02) 61250087 (Fax)

Jammie H. Penm

Independent ( email )

61 (02) 62880126 (Phone)
61 (02) 61250087 (Fax)

R. Deane Terrell

Australian National University (ANU) - National Graduate School of Management ( email )

Sir Roland Wilson Building (120)
Canberra, Australian Capital Territory 0200
Australia

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