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

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Author Info
Chevillon, Guillaume
Hendry, David F.

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Article provided by Elsevier in its journal International Journal of Forecasting.

Volume (Year): 21 (2005)
Issue (Month): 2 ()
Pages: 201-218
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Handle: RePEc:eee:intfor:v:21:y:2005:i:2:p:201-218

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Weiss, Andrew A., 1991. "Multi-step estimation and forecasting in dynamic models," Journal of Econometrics, Elsevier, vol. 48(1-2), pages 135-149. [Downloadable!] (restricted)
  2. Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-08, May. [Downloadable!] (restricted)
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  3. Fildes, Robert & Stekler, Herman, 2002. "The state of macroeconomic forecasting," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 435-468, December. [Downloadable!] (restricted)
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  4. 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. [Downloadable!] (restricted)
  5. Johnston, H N, 1974. "A Note on the Estimation and Prediction Inefficiency of "Dynamic" Estimators," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 15(1), pages 251-55, February. [Downloadable!] (restricted)
  6. Hendry, David F., 2000. "On detectable and non-detectable structural change," Structural Change and Economic Dynamics, Elsevier, vol. 11(1-2), pages 45-65, July. [Downloadable!] (restricted)
  7. Ing, Ching-Kang, 2003. "Multistep Prediction In Autoregressive Processes," Econometric Theory, Cambridge University Press, vol. 19(02), pages 254-279, April. [Downloadable!]
  8. Clements, Michael P. & Hendry, David F., 1996. "Multi-Step Estimation for Forecasting," The Warwick Economics Research Paper Series (TWERPS) 447, University of Warwick, Department of Economics.
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  9. Marcellino, Massimiliano & Stock, James H & Watson, Mark W, 2005. "A Comparison of Direct and Iterated Multistep AR Methods for Forecasting Macroeconomic Time Series," CEPR Discussion Papers 4976, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  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.
  11. Banerjee, A & Hendry, D-F & Mizon, G-E, 1996. "The Econometric Analysis of Economic Policy," Economics Working Papers eco96/34, European University Institute.
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  12. Clements, Michael P. & Hendry, David F., 1998. "Forecasting economic processes," International Journal of Forecasting, Elsevier, vol. 14(1), pages 111-131, March. [Downloadable!] (restricted)
  13. James H. Stock & Mark W. Watson, 1998. "A Comparison of Linear and Nonlinear Univariate Models for Forecasting Macroeconomic Time Series," NBER Working Papers 6607, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Kuzin, Vladimir & Marcellino, Massimiliano & Schumacher, Christian, 2009. "Pooling versus model selection for nowcasting with many predictors: an application to German GDP," Discussion Paper Series 1: Economic Studies 2009,03, Deutsche Bundesbank, Research Centre. [Downloadable!]
    Other versions:
  2. Todd E. Clark & Michael W. McCracken, 2001. "Evaluating long-horizon forecasts," Research Working Paper RWP 01-14, Federal Reserve Bank of Kansas City. [Downloadable!]
  3. Guillaume Chevillon, 2004. "A Comparison of Multi-step GDP Forecasts for South Africa," Economics Series Working Papers 212, University of Oxford, Department of Economics. [Downloadable!]
    Other versions:
  4. Massimiliano Marcellino & Christian Schumacher, 2008. "Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP1," Working Papers 333, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
    Other versions:
  5. Vladimir Kuzin & Massimiliano Marcellino & Christian Schumacher, 2009. "MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the Euro Area," Economics Working Papers ECO2009/32, European University Institute. [Downloadable!]
  6. Guillaume Chevillon, 2004. "`Weak` trends for inference and forecasting in finite samples," Economics Series Working Papers 210, University of Oxford, Department of Economics. [Downloadable!]
    Other versions:
  7. 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. [Downloadable!]
    Other versions:
  8. Nikolay Robinzonov & Klaus Wohlrabe, 2008. "Freedom of Choice in Macroeconomic Forecasting: An Illustration with German Industrial Production and Linear Models," Ifo Working Paper Series Ifo Working Paper No. 57, Ifo Institute for Economic Research at the University of Munich. [Downloadable!]
  9. Eklund, Jana & Karlsson, Sune, 2005. "Forecast Combination and Model Averaging using Predictive Measures," Working Paper Series 191, Sveriges Riksbank (Central Bank of Sweden). [Downloadable!]
    Other versions:
  10. Kuzin, Vladimir & Marcellino, Massimiliano & Schumacher, Christian, 2009. "MIDAS versus mixed-frequency VAR: nowcasting GDP in the euro area," Discussion Paper Series 1: Economic Studies 2009,07, Deutsche Bundesbank, Research Centre. [Downloadable!]
  11. Alfred A Haug & Christie Smith, 2007. "Local linear impulse responses for a small open economy," Reserve Bank of New Zealand Discussion Paper Series DP2007/09, Reserve Bank of New Zealand. [Downloadable!]
  12. Jennifer L. Castle & David F. Hendry, 2007. "Forecasting UK Inflation: the Roles of Structural Breaks and Time Disaggregation," Economics Series Working Papers 309, University of Oxford, Department of Economics. [Downloadable!]
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