A single-index model procedure for interpolation intervals in time series

Andrés Alonso, Ana Sipols () and Silvia Quintas

Computational Statistics, 2013, vol. 28, issue 4, 1463-1484

Abstract: In this paper we propose a procedure that uses a single-index model to construct interpolation intervals for a general class of linear processes. We present an extensive Monte Carlo experiment which studies the finite sample properties of this procedure. Finally, we illustrate the performance of the proposed method with a real data example. Copyright Springer-Verlag 2013

Keywords: Single-index model; Interpolation intervals; Sieve bootstrap (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1007/s00180-012-0355-8

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