Multi-period forecasting using different models for different horizons: an application to U.S. economic time series data
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992.
"Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?,"
Journal of Econometrics,
Elsevier, vol. 54(1-3), pages 159-178.
- Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
- Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
- Schwert, G William, 2002.
"Tests for Unit Roots: A Monte Carlo Investigation,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 20(1), pages 5-17, January.
- Lahiri, Kajal, 1975. "Multiperiod Predictions in Dynamic Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 16(3), pages 699-711, October.
- R. Bhansali, 1996. "Asymptotically efficient autoregressive model selection for multistep prediction," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 48(3), pages 577-602, September.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Guillaume Chevillon, 2006. "Multi-step Forecasting in Unstable Economies: Robustness Issues in the Presence of Location Shifts," Economics Series Working Papers 257, University of Oxford, Department of Economics.
- 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.
- 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.
- Massimiliano Marcellino & James Stock & Mark Watson, 2005. "A Comparison of Direct and Iterated Multistep AR Methods for Forecasting Macroeconomic Time Series," Working Papers 285, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- repec:lrk:eeaart:35_2_9 is not listed on IDEAS
- Jan G. De Gooijer & Rob J. Hyndman, 2005.
"25 Years of IIF Time Series Forecasting: A Selective Review,"
Monash Econometrics and Business Statistics Working Papers
12/05, Monash University, Department of Econometrics and Business Statistics.
- Jan G. de Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Tinbergen Institute Discussion Papers 05-068/4, Tinbergen Institute.
- Hutter, Christian & Weber, Enzo, 2014. "Forecasting with a mismatch-enhanced labor market matching function," IAB Discussion Paper 201416, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
- repec:bla:obuest:v:79:y:2017:i:1:p:101-123 is not listed on IDEAS
- Mohammadipour, Maryam & Boylan, John E., 2012. "Forecast horizon aggregation in integer autoregressive moving average (INARMA) models," Omega, Elsevier, vol. 40(6), pages 703-712.
- 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.
- Chevillon, Guillaume & Hendry, David F., 2005.
"Non-parametric direct multi-step estimation for forecasting economic processes,"
International Journal of Forecasting,
Elsevier, vol. 21(2), pages 201-218.
- Guillaume Chevillon & David F. Hendry, 2004. "Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes," Economics Papers 2004-W12, Economics Group, Nuffield College, University of Oxford.
- David Hendry & Guillaume Chevillon, 2004. "Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes," Economics Series Working Papers 196, University of Oxford, Department of Economics.
- De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.
- Hansen, Bjørn Gunnar & Li, Yushu, 2015. "Future world market prices of milk and feed looking into the crystal ball," Discussion Papers 2015/17, Norwegian School of Economics, Department of Business and Management Science.
- John Haywood & Granville Tunnicliffe Wilson, 2009. "A test for improved multi-step forecasting," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(6), pages 682-707, November.
- Sanchez, Ismael, 2006. "Short-term prediction of wind energy production," International Journal of Forecasting, Elsevier, vol. 22(1), pages 43-56.
More about this item
StatisticsAccess and download statistics
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:eee:intfor:v:19:y:2003:i:3:p:387-400. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/ijforecast .