Working paper
Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes.
- Abstract:
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We evaluate the asymptotic and finite-sample properties of direct multi-step estimation (DMS) for forecasting at several horizons. For forecast accuracy gains from DMS in finite samples, mis-specification and non-stationarity of the DGP are necessary, but when a model is well-specified, iterating the one-step ahead froecasts may not be asymptotically preferable. If a model is mis-specified for a non-stationary DGP, in particular omitting either negative residual serial correlation or regime s...
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Authors
Bibliographic Details
- Publisher:
- Department of Economics (University of Oxford)
- Series:
- Discussion Papers
- Publication date:
- 2004-07-01
Item Description
- Language:
- English
- UUID:
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uuid:0c7a6762-4695-4794-b103-dc9e46c13db6
- Local pid:
- ora:1235
- Deposit date:
- 2011-08-16
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- Copyright date:
- 2004
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