Bootstrapping Confidence Intervals: An Application to Forecasting the Supply of Pork

The article demonstrates how the distribution-free method of bootstrapping can be applied to the construction of confidence intervals for forecasts generated by a dynamic econometric model. Because the exogenous variables must be forecast, the forecasts of the dependent variable are functions of stochastic forecast-period exogenous variables. A dynamic model of pork supply is used to illustrate the procedure. Key words: bootstrapping, confidence intervals, dynamic econometric models, forecasting. The purpose of this article is to apply a rela-tively new nonparametric statistical procedure known as bootstrapping to the problem of con-structing confidence intervals for the point forecasts generated by econometric models. It is well known that the point forecasts obtained from such models are normally distribute