Bootstrap prediction intervals for autoregressions: some alternatives

A new method is proposed to obtain interval forecasts for autoregressive mo dels taking into account the variability due to the estimation of the order and the parameters. The procedure improves that introduced by Masarotto (1 990), allows a substantial reduction of the variance of the predictive dist ribution percentile estimators and should thus be considered as a useful al ternative to the classic Box and Jenkins interval forecast. The method uses the bootstrap technique and is distribution-free. An empirical application is considered. (C) 1998 Elsevier Science B.V. All rights reserved.