Working paper
Non-parametric direct multi-step estimation for forecasting economic processes
- Abstract:
- 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 shifts, DMS can forecast more accurately. Monte Carlo simulations clarify the non-linear dependence of the estimation and forecast biases on the parameters of the DGP, and explain existing results.
- Publication status:
- Published
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(Version of record, bin, 43.2KB, Terms of use)
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Authors
- Publisher:
- University of Oxford
- Series:
- Department of Economics Discussion Paper Series
- Publication date:
- 2004-07-01
- Paper number:
- 196
- Keywords:
- Pubs id:
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1144236
- Local pid:
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pubs:1144236
- Deposit date:
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2020-12-15
- ARK identifier:
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- Copyright date:
- 2004
- Rights statement:
- Copyright 2004 The Author(s)
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