Multi-step forecasts can be produced recursively by iterating a one-step model, or directly using a specific model for each horizon. Choosing between these two strategies is not an easy task since it involves a trade-off between bias and estimation variance over the forecast horizon. Using a...

This paper considers a class of parametric models with nonparametric autoregressive errors. A new test is proposed and studied to deal with the parametric specification of the nonparametric autoregressive errors with either stationarity or nonstationarity. Such a test procedure can initially...

We propose a new forecasting strategy, called rectify, that seeks to combine the best properties of both the recursive and direct forecasting strategies. The rationale behind the rectify strategy is to begin with biased recursive forecasts and adjust them so they are unbiased and have smaller...