BootPR: R package for Bootstrap Prediction Intervals and Bias-Corrected Forecasting based on Univariate Autoregression (current version 0.57)

Bias-correction and forecasting

Andrews-Chen estimator and forecasting (Andrews, 1993; Andrews and Chen, 1994; Kim, 2003)

Shaman-Stine estimator and forecasting (Shaman and Stine, 1988; Stine and Shaman, 1989, Kim, 2003)

Bootstrap bias-correction and forecasting (Kim, 2003)

Roy-Fuller estimator and forecasting (Roy and Fuller, 2001)

Least-Squares estimation and forecasting (no bias-correction)

(Bias-corrected) bootstrap prediction intervals

Bootstrap prediction intervals (Thombs and Schucany, 1990)

Bootstrap-after-bootstrap prediction intervals (Kim, 2001, Kilian, 1998)

Bias-corrected bootstrap prediction intervals based on Shaman-Stine bias-correction (Kim, 2004, Shaman and Stine, 1988, Stine and Shaman, 1989)

Other functions

Plotting point forecasts

Plotting prediction intervals

AR order selection

Industrial production time series from extended Nelson and Plosser data set (Andrews and Chen, 1994)

The R program and BootPR package are available from http://www.r-project.org/

The package is also available here: For window users: click here, For others: click here

An example using industrial production series from the extended Nelson and Plosser data set: BootPRexample.R (program) and ip.txt (data)

A future version will include the case of vector AR models

References

Andrews, D.W. K. (1993). Exactly median-unbiased estimation of first order autoregressive / unit root models. Econometrica, 61, 139-165.

Andrews, D.W. K., & Chen, H. -Y. (1994). Approximate median unbiased estimation of autoregressive models. Journal of Business & Economic Statistics, 12, 187-204.

Kilian, L. (1998). Small sample confidence intervals for impulse response functions. The Review of Economics and Statistics, 80,218-230.

Kim, J.H., 2001, Bootstrap-after-Bootstrap Prediction Intervals for Autoregressive Models, Journal of Business & Economic Statistics 19, 117-128

Kim, J.H., 2003, Forecasting Autoregressive Time Series with Bias-Corrected Parameter Estimators, International Journal of Forecasting, 19, 493-502.

Kim, J.H., 2004, Bootstrap Prediction Intervals for Autoregression using Asymptotically Mean-Unbiased Parameter Estimators, International Journal of Forecasting, 20, 85-97.

Roy, A., & Fuller, W. A. (2001). Estimation for autoregressive time series with a root near one. Journal of Business & Economic Statistics, 19(4), 482-493

Shaman, P., & Stine, R. A. (1988). The bias of autoregressive coefficient estimators. Journal of the American Statistical Association, 83, 842-848.

Stine, R. A., & Shaman, P. (1989). A fixed point characterization for bias of autoregressive estimators. The Annals of Statistics,17, 1275-1284.

Thombs, L. A., & Schucany, W. R. (1990). Bootstrap prediction intervals for autoregression. Journal of the American Statistical Association, 85, 486-492.