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Multistep Prediction In Autoregressive Processes

Citations

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Cited by:

  1. Hännikäinen, Jari, 2014. "Multi-step forecasting in the presence of breaks," MPRA Paper 55816, University Library of Munich, Germany.
  2. Chevillon, Guillaume, 2009. "Multi-step forecasting in emerging economies: An investigation of the South African GDP," International Journal of Forecasting, Elsevier, pages 602-628.
  3. 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, pages 499-526.
  4. 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.
  5. Hansen, Bruce E., 2010. "Averaging estimators for autoregressions with a near unit root," Journal of Econometrics, Elsevier, pages 142-155.
  6. Guillaume Chevillon, 2007. "Direct Multi-Step Estimation And Forecasting," Journal of Economic Surveys, Wiley Blackwell, vol. 21(4), pages 746-785, September.
  7. Proietti, Tommaso & Lütkepohl, Helmut, 2013. "Does the Box–Cox transformation help in forecasting macroeconomic time series?," International Journal of Forecasting, Elsevier, vol. 29(1), pages 88-99.
  8. Chevillon, Guillaume & Hendry, David F., 2005. "Non-parametric direct multi-step estimation for forecasting economic processes," International Journal of Forecasting, Elsevier, pages 201-218.
  9. 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, pages 304-319.
  10. Esteban Gómez & Sandra Rozo, 2008. "Beyond Bubbles: The Role of Asset Prices in Early-Warning Indicators," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, vol. 26(56), pages 114-148, June.
  11. 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, pages 470-492.
  12. Bolt, Wilko & de Haan, Leo & Hoeberichts, Marco & van Oordt, Maarten R.C. & Swank, Job, 2012. "Bank profitability during recessions," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2552-2564.
  13. Pesaran, M Hashem & Pick, Andreas & Timmermann, Allan G, 2009. "Variable Selection and Inference for Multi-period Forecasting Problems," CEPR Discussion Papers 7139, C.E.P.R. Discussion Papers.
  14. 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, pages 155-186.
  15. Greenaway-McGrevy, Ryan, 2015. "Evaluating panel data forecasts under independent realization," Journal of Multivariate Analysis, Elsevier, pages 108-125.
  16. 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.
  17. Ulrich Doraszelski & Kenneth L. Judd, 2012. "Avoiding the curse of dimensionality in dynamic stochastic games," Quantitative Economics, Econometric Society, vol. 3(1), pages 53-93, March.
  18. Tommaso Proietti, 2016. "The Multistep Beveridge--Nelson Decomposition," Econometric Reviews, Taylor & Francis Journals, pages 373-395.
  19. Tsoukalas, John D., 2006. "Financing constraints and firm inventory investment: A reexamination," Economics Letters, Elsevier, vol. 90(2), pages 266-271, February.
  20. Pesaran, M. Hashem & Pick, Andreas & Timmermann, Allan, 2011. "Variable selection, estimation and inference for multi-period forecasting problems," Journal of Econometrics, Elsevier, pages 173-187.
  21. Clark, Todd E. & West, Kenneth D., 2007. "Approximately normal tests for equal predictive accuracy in nested models," Journal of Econometrics, Elsevier, pages 291-311.
  22. Schorfheide, Frank, 2005. "VAR forecasting under misspecification," Journal of Econometrics, Elsevier, pages 99-136.
  23. White, Halbert, 2006. "Time-series estimation of the effects of natural experiments," Journal of Econometrics, Elsevier, pages 527-566.
  24. Òscar Jordà, 2005. "Estimation and Inference of Impulse Responses by Local Projections," American Economic Review, American Economic Association, pages 161-182.
  25. repec:wyi:journl:002063 is not listed on IDEAS
  26. Proietti, Tommaso, 2011. "Direct and iterated multistep AR methods for difference stationary processes," International Journal of Forecasting, Elsevier, pages 266-280.
  27. Hansen, Bruce E., 2006. "Interval forecasts and parameter uncertainty," Journal of Econometrics, Elsevier, pages 377-398.
  28. Alberto Abadie & Guido W. Imbens, 2008. "On the Failure of the Bootstrap for Matching Estimators," Econometrica, Econometric Society, pages 1537-1557.
  29. 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, pages 155-186.
  30. Eliana González Molano & Luis Fernando Melo Velnadia & Anderson Grajales Olarte, 2007. "Pronósticos directos de la inflación colombiana," BORRADORES DE ECONOMIA 004247, BANCO DE LA REPÚBLICA.
  31. Matthias Burgert & Stephane Dees, 2009. "Forecasting World Trade: Direct Versus “Bottom-Up” Approaches," Open Economies Review, Springer, pages 385-402.
  32. Nicholas Apergis & Panagiotis G. Artikis, 2016. "Foreign Exchange Risk, Equity Risk Factors and Economic Growth," Atlantic Economic Journal, Springer;International Atlantic Economic Society, pages 425-445.
  33. Clark, Todd E. & West, Kenneth D., 2007. "Approximately normal tests for equal predictive accuracy in nested models," Journal of Econometrics, Elsevier, pages 291-311.
  34. 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.
  35. 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.
  36. Ing, Ching-Kang & Wei, Ching-Zong, 2003. "On same-realization prediction in an infinite-order autoregressive process," Journal of Multivariate Analysis, Elsevier, pages 130-155.
  37. Chudik, Alexander & Grossman, Valerie & Pesaran, M. Hashem, 2016. "A multi-country approach to forecasting output growth using PMIs," Journal of Econometrics, Elsevier, pages 349-365.
  38. Chevillon, Guillaume, 2016. "Multistep forecasting in the presence of location shifts," International Journal of Forecasting, Elsevier, pages 121-137.
  39. Dées, Stéphane & Burgert, Matthias, 2008. "Forecasting world trade: direct versus "bottom-up" approaches," Working Paper Series 882, European Central Bank.
  40. Hansen, Bruce E., 2008. "Least-squares forecast averaging," Journal of Econometrics, Elsevier, pages 342-350.
  41. 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, pages 572-586.
  42. Esteban Gómez & Sandra Rozo, 2008. "Beyond Bubbles: The Role of Asset Prices in Early-Warning Indicators," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, vol. 26(56), pages 114-148, June.
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