Penm, Jack H W; Penm, Jammie H; Terrell, R D - In: Journal of Business & Economic Statistics 10 (1992) 2, pp. 213-19
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 approximator's...