Non-parametric Direct Multi-step Estimation for Forecasting Economic Processes.
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 forecasts 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 sh...Expand abstract
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