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Bratt, Elmer C. - 1958

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Granger, C. W. J. - 1980

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Forecast evaluation of Livingston data on inflation rates and inflation uncertainty

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Company expectations and new information : an application of Kalman filtering

Mayer, Colin; Mors, Matthias - 1985

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Nonlinear time-series and economic fluctuations

Potter, Simon M. - 1990

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Variable selection and inference for multi-period forecasting problems

Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2009

This paper conducts a broad-based comparison of iterated and direct multi-step forecasting approaches applied to both univariate and multivariate models. Theoretical results and Monte Carlo simulations suggest that iterated forecasts dominate direct forecasts when estimation error is a...