Using the Bootstrap as an Aid in Choosing the Approximate Representation for Vector Time Series

Jack H W Penm, Jammie H Penm and R D Terrell

Journal of Business & Economic Statistics, 1992, vol. 10, issue 2, 213-19

Abstract: In this article, 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 approximator's forecasting performance, can enhance considerably an approach based simply on the estimated Hankel singular values.

Date: 1992
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Persistent link: https://EconPapers.repec.org/RePEc:bes:jnlbes:v:10:y:1992:i:2:p:213-19

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