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This function calculates bootstrap-after-bootstrap prediction intervals and bootstrap bias-corrected point forecasts
BootAfterBootPI(x, p, h, nboot, prob, type)
prediction intervals
bias-corrected point forecasts
a time series data set
AR order
the number of forecast periods
number of bootstrap iterations
a vector of probabilities
"const" for the AR model with intercept only, "const+trend" for the AR model with intercept and trend
Jae H. Kim
Kim, J.H., 2001, Bootstrap-after-Bootstrap Prediction Intervals for Autoregressive Models, Journal of Business & Economic Statistics 19, 117-128
Kilian, L. (1998). Small sample confidence intervals for impulse response functions. The Review of Economics and Statistics, 80,218-230.
data(IPdata) BootAfterBootPI(IPdata,p=1,h=10,nboot=100,prob=c(0.05,0.95),type="const+trend")
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