Discussion of “ Bootstrap prediction intervals for linear , nonlinear , and nonparametric autoregressions ” , by Li Pan and Dimitris Politis Sílvia Gonçalves and Benoit Perron
نویسندگان
چکیده
We would like to start by congratulating the authors for having written this important paper. Prediction intervals are popular in economics and finance (e.g. they are often used by Central Banks to measure point forecasts uncertainty). The paper provides a unifying treatment of bootstrap prediction intervals for autoregression models, which are one of the workhorse models for economic forecasting. Therefore, the methods proposed by the authors will likely have an important impact on the economics profession. The paper considers autoregressive models of the form Xt = m (Xt−1, Xt−2, . . . , Xt−p) + t, where the errors t satisfy the following assumption:
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