Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - In: Journal of Econometrics 164 (2011) 1, pp. 173-187
This paper conducts a broad-based comparison of iterated and direct multi-period forecasting approaches applied to both univariate and multivariate models in the form of parsimonious factor-augmented vector autoregressions. To account for serial correlation in the residuals of the multi-period...