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When are direct multi-step and iterative forecasts identical?

McElroy, Tucker - In: Journal of forecasting 34 (2015) 4, pp. 315-336

Persistent link: https://www.econbiz.de/10011305168

Multi-step ahead forecasting of vector time series

McElroy, Tucker; McCracken, Michael W. - 2012

Persistent link: https://www.econbiz.de/10009681268

The term structure of uncertainty : new evidence from survey expectations

Binder, Carola Conces; McElroy, Tucker; Sheng, Xuguang - In: Journal of money, credit and banking : JMCB 54 (2022) 1, pp. 39-71

Persistent link: https://www.econbiz.de/10012819559

On the discretization of continuous-time filters for nonstationary stock and flow time series

McElroy, Tucker; Trimbur, Thomas M. - In: Econometric reviews 30 (2011) 5, pp. 475-513

Persistent link: https://www.econbiz.de/10009130230

Optimal real-time filters for linear prediction problems

Wildi, Marc; McElroy, Tucker - In: Journal of time series econometrics 8 (2016) 2, pp. 155-192

Persistent link: https://www.econbiz.de/10011582769

Multistep ahead forecasting of vector time series

McElroy, Tucker; McCracken, Michael W. - In: Econometric reviews 36 (2017) 5, pp. 495-513

Persistent link: https://www.econbiz.de/10011795256

Multi-Step Ahead Forecasting of Vector Time Series

McElroy, Tucker - 2014

This paper develops the theory of multi-step ahead forecasting for vector time series that exhibit temporal nonstationarity and co-integration. We treat the case of a semi-infinite past by developing the forecast filters and the forecast error filters explicitly. We also provide formulas for...

Persistent link: https://www.econbiz.de/10013064945