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Non-parametric direct multi-step estimation for forecasting economic processes

Chevillon, Guillaume; Hendry, David F. - In: International Journal of Forecasting 21 (2005) 2, pp. 201-218

Persistent link: https://www.econbiz.de/10005418246

Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes

Chevillon, Guillaume; Hendry, David F. - Economics Group, Nuffield College, University of Oxford - 2004

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,...

Persistent link: https://www.econbiz.de/10005730257

Non-parametric direct multi-step estimation for forecasting economic processes

Chevillon, Guillaume; Hendry, David F. - In: International journal of forecasting 21 (2005) 2, pp. 201-218

Persistent link: https://www.econbiz.de/10002687738

Non-parametric direct multi-step estimation for forecasting economic processes

Chevillon, Guillaume (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002124449

Non-parametric direct multi-step estimation for forecasting economic processes

Chevillon, Guillaume (contributor); … - 2004

Persistent link: https://www.econbiz.de/10002228506

Non-Parametric Direct Multi-Step Estimation for Forecasting Economic Processes

Chevillon, Guillaume; Hendry, David F. - 2004

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,...

Persistent link: https://www.econbiz.de/10014071203

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