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

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. Copyright Springer-Verlag 2013

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Year of publication:	2013
Authors:	Alonso, Andrés ; Sipols, Ana ; Quintas, Silvia
Published in:	Computational Statistics. - Springer. - Vol. 28.2013, 4, p. 1463-1484
Publisher:	Springer
Subject:	Single-index model \| Interpolation intervals \| Sieve bootstrap

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010847946