Prediction intervals for quantile autoregression
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arXiv
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| Main Authors: | , |
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| Format: | Preprint |
| Published: |
2025
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| _version_ | 1866914221349928960 |
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| author | Novo, Silvia Sánchez-Sellero, César |
| author_facet | Novo, Silvia Sánchez-Sellero, César |
| contents | This paper introduces new methods for constructing prediction intervals using quantile-based techniques. The procedures are developed for both classical (homoscedastic) autoregressive models and modern quantile autoregressive models. They combine quantile estimation with multiplier bootstrap schemes to approximate the sampling variability of coefficient estimates, together with bootstrap replications of future observations. We consider both percentile-based and predictive-root-based constructions. Theoretical results establish the validity and pertinence of the proposed methods. Simulation experiments evaluate their finite-sample performance and show that the proposed methods yield improved coverage properties and computational efficiency relative to existing approaches in the literature. The empirical usefulness of the methods is illustrated through applications to U.S. unemployment rate data and retail gasoline prices. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2512_22018 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Prediction intervals for quantile autoregression Novo, Silvia Sánchez-Sellero, César Methodology 62F40, 62F35, 62M10, 62M20 G.3 This paper introduces new methods for constructing prediction intervals using quantile-based techniques. The procedures are developed for both classical (homoscedastic) autoregressive models and modern quantile autoregressive models. They combine quantile estimation with multiplier bootstrap schemes to approximate the sampling variability of coefficient estimates, together with bootstrap replications of future observations. We consider both percentile-based and predictive-root-based constructions. Theoretical results establish the validity and pertinence of the proposed methods. Simulation experiments evaluate their finite-sample performance and show that the proposed methods yield improved coverage properties and computational efficiency relative to existing approaches in the literature. The empirical usefulness of the methods is illustrated through applications to U.S. unemployment rate data and retail gasoline prices. |
| title | Prediction intervals for quantile autoregression |
| topic | Methodology 62F40, 62F35, 62M10, 62M20 G.3 |
| url | https://arxiv.org/abs/2512.22018 |