PROMOTING ACCESS TO AFRICAN RESEARCH

International Journal of Natural and Applied Sciences

Log in or Register to get access to full text downloads.

Remember me or Register



DOWNLOAD FULL TEXT Open Access  DOWNLOAD FULL TEXT Subscription or Fee Access

New interval forecast for stationary autoregressive models

N Ekhosuehi, SE Omosigho

Abstract


In this paper, we proposed a new forecasting interval for stationary Autoregressive, AR(p) models using the Akaike information criterion (AIC) function. Ordinarily, the AIC function is used to determine the order of an AR(p) process. In this study however, AIC forecast interval compared favorably with the theoretical forecast interval in an out of sample forecast performance. A simulation study was used to demonstrate the procedure.

Keywords: Autoregressive, Akaike information criterion, interval forecast, sieve bootstrap

International Journal of Natural and Applied Sciences, 6(4): 471 - 477, 2010



AJOL African Journals Online