Prediction Intervals for Arima Models

Ralph Snyder (), John Ord and A.B. Koehler

No 8/97, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: The problem of constructing prediction intervals for linear time series (ARIMA) models is examined. The aim is to find prediction intervals which incorporate an allowance for sampling error associated with parameter estimates. The effect of constraints on parameters arising from stationary and invertibility conditions is also incorporated. Two new methods, based to varying degrees on first-order Taylor approximations, are proposed.

Keywords: STATISTICS; ECONOMETRICS (search for similar items in EconPapers)
JEL-codes: C11 C13 (search for similar items in EconPapers)
Pages: 29 pages
Date: 1997
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Journal Article: Prediction Intervals for ARIMA Models (2001)
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