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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 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...

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Authors


Guillaume Chevillon More by this author
David F Hendry More by this author
Journal:
International Journal of Forecasting
Volume:
21
Issue:
2
Publication date:
2005
DOI:
URN:
uuid:73b1f8f1-6a94-4736-be5e-371b9b38e3bc
Local pid:
oai:economics.ouls.ox.ac.uk:10770
Language:
English

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