Journal article
Smooth robust multi-horizon forecasts
- Abstract:
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We investigate whether smooth robust methods for forecasting can help mitigate pronounced and persistent failure across multiple forecast horizons. We demonstrate that naive predictors are interpretable as local estimators of the long-run relationship with the advantage of adapting quickly after a break, but at a cost of additional forecast error variance. Smoothing over naive estimates helps retain these advantages while reducing the costs, especially for longer forecast horizons. We derive ...
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- Publication status:
- Published
- Peer review status:
- Peer reviewed
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- Files:
-
-
(Accepted manuscript, 1022.9KB)
-
- Publisher copy:
- https://doi.org/10.1108/S0731-90532021000043A008
Bibliographic Details
- Publisher:
- Emerald Publisher's website
- Series:
- Advances in Econometrics
- Series number:
- 43A
- Pages:
- 143-165
- Publication date:
- 2022-01-18
- Acceptance date:
- 2021-01-14
- DOI:
- ISSN:
-
0731-9053
- EISBN:
- 9781802620610
- ISBN:
- 9781802620627
Item Description
- Language:
- English
- Keywords:
- Pubs id:
-
1174044
- Local pid:
- pubs:1174044
- Deposit date:
- 2021-05-04
Terms of use
- Copyright holder:
- Martinez et al.
- Copyright date:
- 2022
- Rights statement:
- Copyright © 2022 Andrew B. Martinez, Jennifer L. Castle and David F. Hendry
- Notes:
- This is the accepted manuscript version of the article. The final version is available online from Emerald at: https://doi.org/10.1108/S0731-90532021000043A008
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