Constructing narrowest pathwise bootstrap prediction bands using threshold accepting

Anna Staszewska-Bystrova and Peter Winker

International Journal of Forecasting, 2013, vol. 29, issue 2, 221-233

Abstract: Typically, prediction bands for path-forecasts are constructed pointwise, while inference relates to the whole forecasted path. In general, no closed form analytical solution is available for pathwise bands in finite samples. We consider a direct construction approach based on bootstrapped prediction bands. The resulting highly complex optimization problem is tackled using the local search heuristic of threshold accepting. A comparison with pointwise and asymptotic bands is provided, demonstrating superior properties of the proposed bands in small samples. Finally, a real application shows the practical implications of using an appropriate tool for generating the prediction bands.

Keywords: Bootstrapping; Forecast path; Prediction bands; Threshold accepting; Vector autoregressive models (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (29)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:29:y:2013:i:2:p:221-233

DOI: 10.1016/j.ijforecast.2012.09.004

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