Model-based INAR bootstrap for forecasting INAR(p) models

In this paper we analyse some bootstrap techniques to make inference in INAR(p) models. First of all, via Monte Carlo experiments we compare the performances of these methods when estimating the thinning parameters in INAR(p) models; we state the superiority ofmodel-based INARbootstrap approaches on block bootstrap in terms of low bias and Mean Square Error. Then we adopt themodel-based bootstrap methods to obtain coherent predictions and confidence intervals in order to avoid difficulty in deriving the distributional properties. Finally, we present an empirical application