Bootstrap prediction intervals for linear, nonlinear and nonparametric autoregressions

Alonso, 2002, Forecasting time series with sieve bootstrap, J. Statist. Plann. Inference, 100, 1, 10.1016/S0378-3758(01)00092-1

Beran, 1984, Bootstrap methods in statistics, Jahresber. Deutsch. Math.-Verein., 86, 14

Bickel, 1981, Some asymptotic theory for the bootstrap, Ann. Statist., 9, 1196, 10.1214/aos/1176345637

Boldin, 1982, The estimate of the distribution of noise in autoregressive scheme, Teor. Veroyat. Primen., 27, 805

Bose, 1988, Edgeworth correction by bootstrap in autoregressions, Ann. Statist., 16, 1345, 10.1214/aos/1176351063

Bose, 2003, Estimating the arch parameters by solving linear equations, J. Time Series Anal., 24, 127, 10.1111/1467-9892.00296

Bose, 2009, Bootstrapping a weighted linear estimator of the arch parameters, J. Time Series Anal., 30, 315, 10.1111/j.1467-9892.2009.00613.x

Box, 1976

Breidt, 1995, Improved bootstrap prediction intervals for autoregressions, J. Time Series Anal., 16, 177, 10.1111/j.1467-9892.1995.tb00229.x

Cao, 1997, Saving computer time in constructing consistent bootstrap prediction intervals for autoregressive processes, Commun. Statist. Simul. Comput., 26, 961, 10.1080/03610919708813420

Carroll, 1988

Chan, 1993, Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model, Ann. Statist., 21, 520, 10.1214/aos/1176349040

Chatterjee, 2005, Generalized bootstrap for estimating equations, Ann. Statist., 414

Efron, 1986, Bootstrap methods for standard errors, confidence intervals, and other measures of statistical accuracy, Statist. Sci., 1, 1

Efron, 1994

Engle, 1982, Autoregressive conditional heteroscedasticity with estimates of the variance of UK inflation, Econometrica, 50, 987, 10.2307/1912773

Francq, 2010

Franke, 2002, Bootstrap of kernel smoothing in nonlinear time series, Bernoulli, 8, 1

Freedman, 1984, On bootstrapping two-stage least-squares estimates in stationary linear models, Ann. Statist., 12, 827, 10.1214/aos/1176346705

Geisser, 1993

Grigoletto, 1998, Bootstrap prediction intervals for autoregressions: some alternatives, Int. J. Forecast., 14, 447, 10.1016/S0169-2070(98)00004-1

Hall, 1992

Hardle, 1991, Bootstrap simultaneous error bars for nonparametric regression, Ann. Statist., 778

Kokoszka, 2011, Nonlinearity of arch and stochastic volatility models and Bartlett’s formula, Probab. Math. Statist., 31, 47

Li, 2012, On the least squares estimation of multiple-regime threshold autoregressive models, J. Econometrics, 167, 240, 10.1016/j.jeconom.2011.11.006

Masarotto, 1990, Bootstrap prediction intervals for autoregressions, Int. J. Forecast., 6, 229, 10.1016/0169-2070(90)90008-Y

Miguel, 1999, Bootstrapping forecast intervals in arch models, Test, 8, 345, 10.1007/BF02595875

Olive, 2007, Prediction intervals for regression models, Comput. Statist. Data Anal., 51, 3115, 10.1016/j.csda.2006.02.006

Pan, Li, Politis, D.N., 2014. Bootstrap prediction intervals for linear, nonlinear and nonparametric autoregressions. Working Paper, Department of Economics, UCSD; http://www.escholarship.org/uc/item/67h5s74t.

Pascual, 2004, Bootstrap predictive inference for arima processes, J. Time Series Anal., 25, 449, 10.1111/j.1467-9892.2004.01713.x

Patel, 1989, Prediction intervals: a review, Comm. Statist. Theory Methods, 18, 2393, 10.1080/03610928908830043

Politis, 2013, Model-free model-fitting and predictive distributions (with discussion), Test, 22, 183, 10.1007/s11749-013-0317-7

Politis, 1999

Reeves, 2000, Bootstrap prediction intervals for arch models, Int. J. Forecast., 21, 237, 10.1016/j.ijforecast.2004.09.005

Olave Robio, 1999, Forecast intervals in arch models: bootstrap versus parametric methods, Appl. Econ. Lett., 6, 323, 10.1080/135048599353320

Schmoyer, 1992, Asymptotically valid prediction intervals for linear models, Ann. Statist., 34, 399

Stine, 1985, Bootstrap prediction intervals for regression, J. Amer. Statist. Assoc., 80, 1026, 10.1080/01621459.1985.10478220

Stine, 1987, Estimating properties of autoregressive forecasts, J. Amer. Statist. Assoc., 82, 1072, 10.1080/01621459.1987.10478542

Thombs, 1990, Bootstrap prediction intervals for autoregression, J. Amer. Statist. Assoc., 85, 486, 10.1080/01621459.1990.10476225

Tong, 2011, Threshold models in time series analysis–30~years on, Statist. Interface, 4, 107, 10.4310/SII.2011.v4.n2.a1

Wolf, 2015, Bootstrap joint prediction regions, J. Time Ser. Anal., 36, 10.1111/jtsa.12099