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Multistep Prediction In Autoregressive Processes

Citations

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Cited by:

  1. Kearney, Fearghal & Shang, Han Lin & Sheenan, Lisa, 2019. "Implied volatility surface predictability: The case of commodity markets," Journal of Banking & Finance, Elsevier, vol. 108(C).
  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. Hansen, Bruce E., 2010. "Averaging estimators for autoregressions with a near unit root," Journal of Econometrics, Elsevier, vol. 158(1), pages 142-155, September.
  4. Tommaso Proietti, 2016. "The Multistep Beveridge--Nelson Decomposition," Econometric Reviews, Taylor & Francis Journals, vol. 35(3), pages 373-395, March.
  5. Pincheira, Pablo M. & West, Kenneth D., 2016. "A comparison of some out-of-sample tests of predictability in iterated multi-step-ahead forecasts," Research in Economics, Elsevier, vol. 70(2), pages 304-319.
  6. Eliana González Molano & Luis Fernando Melo Velandia & Anderson Grajales Olarte, 2007. "Pronósticos directos de la inflación colombiana," Borradores de Economia 458, Banco de la Republica de Colombia.
  7. Rebecca Stuart, 2020. "Monetary regimes, the term structure and business cycles in Ireland, 1972–2018," Manchester School, University of Manchester, vol. 88(5), pages 731-748, September.
  8. Alfred A. Haug & Christie Smith, 2012. "Local Linear Impulse Responses for a Small Open Economy," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(3), pages 470-492, June.
  9. Pesaran, M. Hashem & Pick, Andreas & Timmermann, Allan, 2011. "Variable selection, estimation and inference for multi-period forecasting problems," Journal of Econometrics, Elsevier, vol. 164(1), pages 173-187, September.
  10. Clark, Todd E. & West, Kenneth D., 2006. "Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 155-186.
  11. Todd E. Clark & Kenneth D. West, 2005. "Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference," NBER Technical Working Papers 0305, National Bureau of Economic Research, Inc.
  12. Pesaran, M.H. & Pick, A. & Timmermann, A., 2009. "Variable Selection and Inference for Multi-period Forecasting Problems," Cambridge Working Papers in Economics 0901, Faculty of Economics, University of Cambridge.
  13. Òscar Jordà, 2005. "Estimation and Inference of Impulse Responses by Local Projections," American Economic Review, American Economic Association, vol. 95(1), pages 161-182, March.
  14. Jari Hännikäinen, 2014. "Multi-step forecasting in the presence of breaks," Working Papers 1494, Tampere University, Faculty of Management and Business, Economics.
  15. Moiseev, Nikita & Volodin, Andrei, 2019. "Increasing the accuracy of macroeconomic time series forecast by incorporating functional and correlational dependencies between them," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 53, pages 119-137.
  16. Proietti, Tommaso, 2011. "Direct and iterated multistep AR methods for difference stationary processes," International Journal of Forecasting, Elsevier, vol. 27(2), pages 266-280.
  17. Hitesh Doshi & Kris Jacobs & Rui Liu, 2021. "Information in the Term Structure: A Forecasting Perspective," Management Science, INFORMS, vol. 67(8), pages 5255-5277, August.
  18. West, Kenneth D., 2006. "Forecast Evaluation," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 3, pages 99-134, Elsevier.
  19. Clark, Todd E. & West, Kenneth D., 2007. "Approximately normal tests for equal predictive accuracy in nested models," Journal of Econometrics, Elsevier, vol. 138(1), pages 291-311, May.
  20. Kauppi, Heikki & Virtanen, Timo, 2021. "Boosting nonlinear predictability of macroeconomic time series," International Journal of Forecasting, Elsevier, vol. 37(1), pages 151-170.
  21. Diebold, Francis X. & Göbel, Maximilian, 2022. "A benchmark model for fixed-target Arctic sea ice forecasting," Economics Letters, Elsevier, vol. 215(C).
  22. Francis X. Diebold & Maximilian Goebel & Philippe Goulet Coulombe, 2022. "Assessing and Comparing Fixed-Target Forecasts of Arctic Sea Ice: Glide Charts for Feature-Engineered Linear Regression and Machine Learning Models," Papers 2206.10721, arXiv.org, revised Jun 2023.
  23. Nicholas Apergis & Panagiotis G. Artikis, 2016. "Foreign Exchange Risk, Equity Risk Factors and Economic Growth," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 44(4), pages 425-445, December.
  24. Ching-Kang Ing & Chiao-Yi Yang, 2014. "Predictor Selection for Positive Autoregressive Processes," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 109(505), pages 243-253, March.
  25. Thomas Flavin & Ekaterini Panopoulou & Theologos Pantelidis, 2009. "Forecasting growth and inflation in an enlarged euro area," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(5), pages 405-425.
  26. Euler Pereira G. de Mello & Francisco Marcos R. Figueiredo, 2014. "Assessing the Short-term Forecasting Power of Confidence Indices," Working Papers Series 371, Central Bank of Brazil, Research Department.
  27. Chevillon, Guillaume, 2016. "Multistep forecasting in the presence of location shifts," International Journal of Forecasting, Elsevier, vol. 32(1), pages 121-137.
  28. Chudik, Alexander & Grossman, Valerie & Pesaran, M. Hashem, 2016. "A multi-country approach to forecasting output growth using PMIs," Journal of Econometrics, Elsevier, vol. 192(2), pages 349-365.
  29. Chevillon, Guillaume, 2017. "Robustness of Multistep Forecasts and Predictive Regressions at Intermediate and Long Horizons," ESSEC Working Papers WP1710, ESSEC Research Center, ESSEC Business School.
  30. Diebold, Francis X. & Göbel, Maximilian & Goulet Coulombe, Philippe, 2023. "Assessing and comparing fixed-target forecasts of Arctic sea ice: Glide charts for feature-engineered linear regression and machine learning models," Energy Economics, Elsevier, vol. 124(C).
  31. Wu, Jyh-Lin & Lee, Chingnun & Wang, Tzu-Wei, 2011. "A re-examination on dissecting the purchasing power parity puzzle," Journal of International Money and Finance, Elsevier, vol. 30(3), pages 572-586, April.
  32. 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.
  33. João Henrique Gonçalves Mazzeu & Esther Ruiz & Helena Veiga, 2018. "Uncertainty And Density Forecasts Of Arma Models: Comparison Of Asymptotic, Bayesian, And Bootstrap Procedures," Journal of Economic Surveys, Wiley Blackwell, vol. 32(2), pages 388-419, April.
  34. 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.
  35. Guillaume Chevillon, 2007. "Direct Multi‐Step Estimation And Forecasting," Journal of Economic Surveys, Wiley Blackwell, vol. 21(4), pages 746-785, September.
  36. Hansen, Peter Reinhard & Dumitrescu, Elena-Ivona, 2022. "How should parameter estimation be tailored to the objective?," Journal of Econometrics, Elsevier, vol. 230(2), pages 535-558.
  37. Greenaway-McGrevy, Ryan, 2015. "Evaluating panel data forecasts under independent realization," Journal of Multivariate Analysis, Elsevier, vol. 136(C), pages 108-125.
  38. Ching-Kang Ing, 2005. "Accumulated Prediction Errors, Information Criteria And Optimal Forecasting For Autoregressive Time Series," Econometrics 0503020, University Library of Munich, Germany.
  39. Schorfheide, Frank, 2005. "VAR forecasting under misspecification," Journal of Econometrics, Elsevier, vol. 128(1), pages 99-136, September.
  40. White, Halbert, 2006. "Time-series estimation of the effects of natural experiments," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 527-566.
  41. repec:wyi:journl:002063 is not listed on IDEAS
  42. Roberto Duncan & Enrique Martínez‐García, 2023. "Forecasting inflation in open economies: What can a NOEM model do?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(3), pages 481-513, April.
  43. Hansen, Bruce E., 2006. "Interval forecasts and parameter uncertainty," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 377-398.
  44. Eliana González Molano & Luis Fernando Melo Velnadia & Anderson Grajales Olarte, 2007. "Pronósticos directos de la inflación colombiana," Borradores de Economia 4246, Banco de la Republica.
  45. Matthias Burgert & Stephane Dees, 2009. "Forecasting World Trade: Direct Versus “Bottom-Up” Approaches," Open Economies Review, Springer, vol. 20(3), pages 385-402, July.
  46. Ing, Ching-Kang & Wei, Ching-Zong, 2003. "On same-realization prediction in an infinite-order autoregressive process," Journal of Multivariate Analysis, Elsevier, vol. 85(1), pages 130-155, April.
  47. 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.
  48. Francis X. Diebold & Maximilian Gobel & Philippe Goulet Coulombe, 2022. "Assessing and Comparing Fixed-Target Forecasts of Arctic Sea Ice: Glide Charts for Feature-Engineered Linear Regression and Machine Learning Models," Working Papers 22-04, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.
  49. Hansen, Bruce E., 2008. "Least-squares forecast averaging," Journal of Econometrics, Elsevier, vol. 146(2), pages 342-350, October.
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