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On Bootstrap Estimates of Forecast Mean Square Errors for Autoregressive Processes
On Bootstrap Estimates of Forecast Mean Square Errors for Autoregressive Processes
Introduction
Freedman and Peters (1984) recently applied a resampling procedure (the "bootstrap") to obtain estimates of mean square error for the forecasts from an autoregression with exogeneous terms. In this paper, we start with a theoretical analysis of their suggested procedure for the case of (not necessarily stationary) autoregressive models without exogenous terms and later describe two sitautions in which the same conclusions hold in the presence of exogenous variables.
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Page Last Revised - October 8, 2021
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