Iterated Multi-Step Forecasting with Model Coefficients Changing Across Iterations
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References listed on IDEAS
- Kapetanios, George & Price, Simon & Theodoridis, Konstantinos, 2015.
"A new approach to multi-step forecasting using dynamic stochastic general equilibrium models,"
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More about this item
KeywordsBayesian estimation; direct forecasting; iterated forecasting; multi-step forecasts; VAR;
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ECM-2016-07-09 (Econometrics)
- NEP-ETS-2016-07-09 (Econometric Time Series)
- NEP-FOR-2016-07-09 (Forecasting)
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