Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes

Norman Swanson () and Valentina Corradi
Additional contact information
Norman Swanson: Rutgers University

Departmental Working Papers from Rutgers University, Department of Economics

Abstract: Our objectives in this paper are twofold. First, we introduce block bootstrap techniques that are (first order) valid in recursive estimation frameworks. Thereafter, we present two examples where predictive accuracy tests are made operational using our new bootstrap procedures. In one application, we outline a consistent test for out-of-sample nonlinear Granger causality, and in the other we outline a test for selecting amongst multiple alternative forecasting models, all of which are possibly misspecified. More specifically, our examples extend the White (2000) reality check to the case of non vanishing parameter estimation error, and extend the integrated conditional moment tests of Bierens (1982, 1990) and Bierens and Ploberger (1997) to the case of out-of-sample prediction. In both examples, appropriate re-centering of the bootstrap score is required in order to ensure that the tests have asymptotically correct size, and the need for such re-centering is shown to arise quite naturally when testing hypotheses of predictive accuracy. In a Monte Carlo investigation, we compare the finite sample properties of our block bootstrap procedures with the parametric bootstrap due to Kilian (1999); all within the context of various encompassing and predictive accuracy tests. An empirical illustration is also discussed, in which it is found that unemployment appears to have nonlinear marginal predictive content for inflation.

Keywords: block bootstrap; nonlinear causality; parameter estimation error; reality check; recursive estimation scheme (search for similar items in EconPapers)
JEL-codes: C22 C51 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2006-09-22
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17)

Downloads: (external link)
http://www.sas.rutgers.edu/virtual/snde/wp/2006-18.pdf (application/pdf)

Related works:
Journal Article: NONPARAMETRIC BOOTSTRAP PROCEDURES FOR PREDICTIVE INFERENCE BASED ON RECURSIVE ESTIMATION SCHEMES (2007)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rut:rutres:200618

Access Statistics for this paper

More papers in Departmental Working Papers from Rutgers University, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by ().