A single-index model procedure for interpolation intervals in time series Articles uri icon

publication date

  • August 2013

start page

  • 1463

end page

  • 1484

issue

  • 4

volume

  • 28

International Standard Serial Number (ISSN)

  • 0943-4062

Electronic International Standard Serial Number (EISSN)

  • 1613-9658

abstract

  • In this paper we propose a procedure that uses a single-index model to construct interpolation intervals for a general class of linear processes. We present an extensive Monte Carlo experiment which studies the finite sample properties of this procedure. Finally, we illustrate the performance of the proposed method with a real data example.

keywords

  • single-index model; interpolation intervals; sieve bootstrap