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Multi-Step Estimation for Forecasting.

Abstract:

We delineate conditions which favour multi-step, or dynamic estimation for multi-step forecasting. An analytical example shows how dynamic estimation (DE) may accomodateincorrectly-specified models as the forecast lead alters, improving forecast performance for some mis-specifications. However, in correctly-specified models, reducing finite-sample biases does not justify DR. In a Monte Carlo forecasting study for integrated processes, estimating a unit root in the presence of a neglected nega...

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Authors


Michael P Clements More by this author
David F Hendry More by this author
Series:
The Warwick Economics Research Paper Series (TWERPS)
Publication date:
1996
URN:
uuid:5904ef1c-546b-429d-af19-f0ca1be15286
Local pid:
oai:economics.ouls.ox.ac.uk:12321
Language:
English

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