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Direct Multi-Step Estimation And Forecasting

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  • Guillaume Chevillon

Abstract

This paper surveys the literature on multi-step forecasting when the model or the estimation method focuses directly on the link between the forecast origin and the horizon of interest. Among diverse contributions, we show how the current consensual concepts have emerged. We present an exhaustive overview of the existing results, including a conclusive review of the circumstances favourable to direct multi-step forecasting, namely different forms of non-stationarity and appropriate model design. We also provide a unifying framework which allows us to analyse the sources of forecast errors and hence of accuracy improvements from direct over iterated multi-step forecasting. Copyright 2007 The Author. Journal compilation � 2007 Blackwell Publishing Ltd.

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Bibliographic Info

Article provided by Wiley Blackwell in its journal Journal of Economic Surveys.

Volume (Year): 21 (2007)
Issue (Month): 4 (09)
Pages: 746-785

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Handle: RePEc:bla:jecsur:v:21:y:2007:i:4:p:746-785

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  1. Schorfheide, Frank, 2005. "VAR forecasting under misspecification," Journal of Econometrics, Elsevier, vol. 128(1), pages 99-136, September.
  2. Clements,Michael & Hendry,David, 1998. "Forecasting Economic Time Series," Cambridge Books, Cambridge University Press, number 9780521632423.
  3. Janine Aron & John Muellbauer, 2002. "Interest Rate Effects on Output: Evidence from a GDP Forecasting Model for South Africa," Economics Series Working Papers WPS/2002-04, University of Oxford, Department of Economics.
  4. Fildes, Robert & Stekler, Herman, 2002. "The state of macroeconomic forecasting," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 435-468, December.
  5. Ing, Ching-Kang, 2003. "Multistep Prediction In Autoregressive Processes," Econometric Theory, Cambridge University Press, vol. 19(02), pages 254-279, April.
  6. Clements, Michael P & Hendry, David F, 1996. "Multi-step Estimation for Forecasting," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 58(4), pages 657-84, November.
  7. Neil R. Ericsson & Jaime Marquez, 1998. "A framework for economic forecasting," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages C228-C266.
  8. Chatfield, Chris, 1993. "Calculating Interval Forecasts: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(2), pages 143-44, April.
  9. David Hendry, 2000. "A General Forecast-error Taxonomy," Econometric Society World Congress 2000 Contributed Papers 0608, Econometric Society.
  10. Michael P. Clements & David F. Hendry, 2001. "Forecasting Non-Stationary Economic Time Series," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262531895, December.
  11. Clements, Michael P. & Hendry, David F., 1998. "Forecasting economic processes," International Journal of Forecasting, Elsevier, vol. 14(1), pages 111-131, March.
  12. Weiss, Andrew A, 1996. "Estimating Time Series Models Using the Relevant Cost Function," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(5), pages 539-60, Sept.-Oct.
  13. Chatfield, Chris, 1993. "Calculating Interval Forecasts," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(2), pages 121-35, April.
  14. R. Bhansali, 1996. "Asymptotically efficient autoregressive model selection for multistep prediction," Annals of the Institute of Statistical Mathematics, Springer, vol. 48(3), pages 577-602, September.
  15. Weiss, Andrew A., 1991. "Multi-step estimation and forecasting in dynamic models," Journal of Econometrics, Elsevier, vol. 48(1-2), pages 135-149.
  16. Chevillon, Guillaume, 2009. "Multi-step forecasting in emerging economies: An investigation of the South African GDP," International Journal of Forecasting, Elsevier, vol. 25(3), pages 602-628, July.
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Citations

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Cited by:
  1. Jennifer Castle & David Hendry & Michael P. Clements, 2014. "Robust Approaches to Forecasting," Economics Series Working Papers 697, University of Oxford, Department of Economics.
  2. Marcellino, Massimiliano & Stock, James H. & Watson, Mark W., 2006. "A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 499-526.
  3. Eliana González Molano & Luis Fernando Melo Velandia & Anderson Grajales Olarte, . "Pronósticos directos de la inflación colombiana," Borradores de Economia 458, Banco de la Republica de Colombia.
  4. Chevillon, Guillaume, 2009. "Multi-step forecasting in emerging economies: An investigation of the South African GDP," International Journal of Forecasting, Elsevier, vol. 25(3), pages 602-628, July.
  5. Xiong, Tao & Bao, Yukun & Hu, Zhongyi, 2013. "Beyond one-step-ahead forecasting: Evaluation of alternative multi-step-ahead forecasting models for crude oil prices," Energy Economics, Elsevier, vol. 40(C), pages 405-415.
  6. M. Hashem Pesaran & Andreas Pick & Allan Timmermann, 2010. "Variable Selection, Estimation and Inference for Multi-period Forecasting Problems," DNB Working Papers 250, Netherlands Central Bank, Research Department.
  7. Proietti, Tommaso, 2011. "Direct and iterated multistep AR methods for difference stationary processes," International Journal of Forecasting, Elsevier, vol. 27(2), pages 266-280.
  8. Hendry, David F & Hubrich, Kirstin, 2006. "Forecasting Economic Aggregates by Disaggregates," CEPR Discussion Papers 5485, C.E.P.R. Discussion Papers.
  9. Laurent Ferrara & Clément Marsilli & Juan-Pablo Ortega, 2013. "Forecasting US growth during the Great Recession: Is the financial volatility the missing ingredient?," EconomiX Working Papers 2013-19, University of Paris West - Nanterre la Défense, EconomiX.
  10. Souhaib Ben Taieb & Rob J Hyndman, 2012. "Recursive and direct multi-step forecasting: the best of both worlds," Monash Econometrics and Business Statistics Working Papers 19/12, Monash University, Department of Econometrics and Business Statistics.
  11. Proietti, Tommaso, 2009. "The Multistep Beveridge-Nelson Decomposition," MPRA Paper 15345, University Library of Munich, Germany.
  12. Souhaib Ben Taieb & Rob J Hyndman, 2014. "Boosting multi-step autoregressive forecasts," Monash Econometrics and Business Statistics Working Papers 13/14, Monash University, Department of Econometrics and Business Statistics.
  13. Ferrara, Laurent & Marsilli, Clément & Ortega, Juan-Pablo, 2014. "Forecasting growth during the Great Recession: is financial volatility the missing ingredient?," Economic Modelling, Elsevier, vol. 36(C), pages 44-50.
  14. Kirstin Hubrich & David F. Hendry, 2005. "Forecasting Aggregates by Disaggregates," Computing in Economics and Finance 2005 270, Society for Computational Economics.

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