Using the Bootstrap as an Aid in Choosing the Approximate Representation for Vector Time Series |
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Authors: | Jack H. W. Penm Jammie H. Penm R. D. Terrell |
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Affiliation: | Department of Statistics, Faculty of Economics and Commerce , The Australian National University , Canberra , A.C.T. 2601 , Australia |
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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. |
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Keywords: | Initial state vector Model reduction Subset vector autoregression |
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