Journal article icon

Journal article

Multi-step estimation for forecasting

Abstract:

The authors delineate conditions which favor multistep, or dynamic, estimation for multistep forecasting. An analytical example shows how dynamic estimation may accommodate incorrectly specified models as the forecast lead alters, improving forecast performance for some misspecifications. However, in correctly specified models, reducing finite-sample biases does not justify dynamic estimation. In a Monte Carlo forecasting study for integrated processes, estimating a unit root in the presence ...

Expand abstract
Publication status:
Published
Peer review status:
Peer reviewed
Version:
Author's Original

Actions


Access Document


Files:
Publisher copy:
10.1111/j.1468-0084.1996.mp58004005.x

Authors


Michael P Clements More by this author
More by this author
Institution:
University of Oxford
Publisher:
Blackwell Publishers
Journal:
Oxford Bulletin of Economics and Statistics Journal website
Volume:
58
Issue:
4
Publication date:
1996
DOI:
URN:
uuid:115ccfae-5fbd-4756-b0a6-eff0ea0a5b31
Local pid:
oai:economics.ouls.ox.ac.uk:12937
Language:
English

Terms of use


Metrics



If you are the owner of this record, you can report an update to it here: Report update to this record

TO TOP