Construction of multi-step forecast regions of VAR processes using ordered block bootstrap


Beyaztas B. H.

COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, 2019 (Journal Indexed in SCI) identifier identifier

  • Publication Type: Article / Article
  • Volume:
  • Publication Date: 2019
  • Doi Number: 10.1080/03610918.2019.1596282
  • Title of Journal : COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION

Abstract

In this study, an ordered non-overlapping block bootstrap procedure has been proposed to obtain multi-step forecast regions for unrestricted vector autoregressive models. The proposed method is not based on either backward or forward representations, so it can be implemented to VARMA or VAR-GARCH models. Also, it is computationally more efficient than the existing techniques. Its finite sample performance is investigated by Monte Carlo experiments and two-real world examples. Our findings show that the proposed method is a good alternative to the available resampling methods and produces better results for long-term forecasting when the model is near non-stationary or near-cointegrated.