Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/77512
Authors: 
Wolf, Michael
Wunderli, Dan
Year of Publication: 
2013
Series/Report no.: 
Working Paper Series, Department of Economics, University of Zurich 64
Abstract: 
Many statistical applications require the forecast of a random variable of interest over several periods into the future. The sequence of individual forecasts, one period at a time, is called a path forecast, where the term path refers to the sequence of individual future realizations of the random variable. The problem of constructing a corresponding joint prediction region has been rather neglected in the literature so far: such a region is supposed to contain the entire future path with a prespecified probability. We develop bootstrap methods to construct joint prediction regions. The resulting regions are proven to be asymptotically consistent under a mild high-level assumption. We compare the finitesample performance of our joint prediction regions to some previous proposals via Monte Carlo simulations. An empirical application to a real data set is also provided.
Subjects: 
generalized error rates
path forecast
simultaneous prediction intervals
JEL: 
C14
C32
C53
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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