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dc.contributor.authorHelske, Jouni
dc.contributor.authorNyblom, Jukka
dc.date.accessioned2016-03-16T09:40:50Z
dc.date.available2016-11-19T22:45:05Z
dc.date.issued2015
dc.identifier.citationHelske, J., & Nyblom, J. (2015). Improved Frequentist Prediction Intervals for Autoregressive Models by Simulation. In S. J. Koopman, & N. Shephard (Eds.), <em>Unobserved Components and Time Series Econometrics</em> (pp. 291-309). Oxford University Press.
dc.identifier.otherTUTKAID_69009
dc.identifier.urihttps://jyx.jyu.fi/handle/123456789/49075
dc.description.abstractIt is well known that the so called plug-in prediction intervals for autoregressive processes, with Gaussian disturbances, are too narrow, i.e. the coverage probabilities fall below the nominal ones. However, simulation experiments show that the formulas borrowed from the ordinary linear regression theory yield one-step prediction intervals, which have coverage probabilities very close to what is claimed. From a Bayesian point of view the resulting intervals are posterior predictive intervals when uniform priors are assumed for both autoregressive coefficients and logarithm of the disturbance variance. This finding opens the path how to treat multi-step prediction intervals which are obtained easily by simulation either directly from the posterior distribution or using importance sampling. A notable improvement is gained in frequentist coverage probabilities. An application of the method to forecasting the annual gross domestic product growth in the United Kingdom and Spain is given for the period 2002–2011 using the estimation period 1962–2001.
dc.format.extent400
dc.language.isoeng
dc.publisherOxford University Press
dc.relation.ispartofUnobserved Components and Time Series Econometrics, Ed. by S. J. Koopman, & N. Shephard. Oxford University Press, ISBN 978-0-19-968366-6
dc.subject.otherprediction intervals
dc.subject.otherautoregressive models
dc.subject.othersimulation
dc.titleImproved Frequentist Prediction Intervals for Autoregressive Models by Simulation
dc.typebookPart
dc.identifier.urnURN:NBN:fi:jyu-201603141839
dc.contributor.laitosMatematiikan ja tilastotieteen laitosfi
dc.contributor.laitosDepartment of Mathematics and Statisticsen
dc.contributor.oppiaineTilastotiede
dc.type.urihttp://purl.org/eprint/type/BookItem
dc.date.updated2016-03-14T10:15:10Z
dc.type.coarbook part
dc.description.reviewstatuspeerReviewed
dc.format.pagerange291-309
dc.type.versionacceptedVersion
dc.rights.copyright© 2015 Oxford University Press. This is a final draft version of an article whose final and definitive form has been published by OUP. Published in this repository with the kind permission of the publisher.
dc.rights.accesslevelopenAccessfi


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