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Multi-step Estimation for Forecasting.

Abstract:

The authors delineate conditions which favor multistep, or dynamic, estimation for multistep forecasting. An analytical example shows how dynamic estimation may accommodate incorrectly specified models as the forecast lead alters, improving forecast performance for some misspecifications. However, in correctly specified models, reducing finite-sample biases does not justify dynamic estimation. In a Monte Carlo forecasting study for integrated processes, estimating a unit root in the presence ...

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Authors


Michael P Clements More by this author
David F Hendry More by this author
Volume:
447
Series:
The Warwick Economics Research Paper Series (TWERPS)
Publication date:
1996
URN:
uuid:b896fc34-5285-4ab8-81cd-ae368e16b804
Local pid:
oai:economics.ouls.ox.ac.uk:11153
Language:
English

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