Using the Bootstrap as an Aid in Choosing the Approximate Representation for Vector Time Series |
| |
| Authors: | Jack H W Penm Jammie H Penm R D Terrell |
| |
| Institution: | Department of Statistics, Faculty of Economics and Commerce , The Australian National University , Canberra , A.C.T. 2601 , Australia |
| |
| Abstract: | In this article, a procedure is presented to use the bootstrap in choosing the best approximation in terms of forecasting performance for the equivalent state-space representation of a vector autoregressive model. It is found that the proposed procedure, which uses each approximant's forecasting performance, can enhance considerably an approach based simply on the estimated Hankel singular values. |
| |
| Keywords: | Initial state vector Model reduction Subset vector autoregression |
|
|
