UNCERTAINTY AND DENSITY FORECASTS OF ARMA MODELS: COMPARISON OF ASYMPTOTIC, BAYESIAN, AND BOOTSTRAP PROCEDURES
Author:
Affiliation:
1. Universidad Carlos III de Madrid
2. BRU-Unide; Instituto Universitario de Lisboa
Funder
Ministerio de Economía y Competitividad
Publisher
Wiley
Subject
Economics and Econometrics
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/joes.12197/fullpdf
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4. Finite-sample properties of forecasts from the stationary first-order autoregressive model under a general error distribution;Bao;Econometric Theory,2007
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