IDEAS home Printed from https://ideas.repec.org/p/ags/uwarer/268696.html
   My bibliography  Save this paper

Multi-Step Estimation For Forecasting

Author

Listed:
  • Clements, Michael P.
  • Hendry, David F.

Abstract

The authors delineate conditions which favor multistep, or dynamic, estimation for multistep forecasting. An analytical example shows how dynamic estimation may accommodate incorrectly specified models as the forecast lead alters, improving forecast performance for some misspecifications. However, in correctly specified models, reducing finite-sample biases does not justify dynamic estimation. In a Monte Carlo forecasting study for integrated processes, estimating a unit root in the presence of a neglected negative moving-average error may favor dynamic estimation, though other solutions exist to that scenario. A second Monte Carlo study obtains the estimator biases and explains those using asymptotic approximations. Copyright 1996 by Blackwell Publishing Ltd
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Clements, Michael P. & Hendry, David F., 1996. "Multi-Step Estimation For Forecasting," Economic Research Papers 268696, University of Warwick - Department of Economics.
    • Handle: RePEc:ags:uwarer:268696
    DOI: 10.22004/ag.econ.268696
    as

    Download full text from publisher

    File URL: https://ageconsearch.umn.edu/record/268696/files/twerp447.pdf
    Download Restriction: no
    File URL: https://ageconsearch.umn.edu/record/268696/files/twerp447.pdf?subformat=pdfa
    Download Restriction: no
    File URL: https://libkey.io/10.22004/ag.econ.268696?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Other versions of this item:

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:uwarer:268696. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: AgEcon Search (email available below). General contact details of provider: https://warwick.ac.uk/fac/soc/economics/research/workingpapers/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.