Multi-step estimation and forecasting in dynamic models

DOI10.1016/0304-4076(91)90035-CMaRDI QIDQ756348zbMATH OpenOpenAlexFDO

Authors Andrew A. Weiss

Publication date 1991

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4076(91)90035-c

zbMATH Keywords

Monte Carloordinary least squaresOLSlarge samplesmisspecified modelsmall samplesmulti-step forecastingsquared errorssum of squared multi-step forecast errors

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

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Cites work

• scientific article; zbMATH DE number 3988509 (Why is no real title available?)
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• A Note on the Estimation and Prediction Inefficiency of "Dynamic" Estimators
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Asymptotic Properties of Non-Linear Least Squares Estimators
• Consistency in Nonlinear Econometric Models: A Generic Uniform Law of Large Numbers
• Exogeneity
• Misspecified models with dependent observations
• Nonlinear Regression on Cross-Section Data
• Nonlinear Regression with Dependent Observations
• Specification Tests in Econometrics
• The exact multi-period mean-square forecast error for the first-order autoregressive model
• The exact multi-period mean-square forecast error for the first-order autoregressive model with an intercept
• The sampling distribution of forecasts from a first-order autoregression
• Unbiasedness of Predictions from Estimated Autoregressions when the True Order is Unknown

Cited in

(13)

• VAR forecasting under misspecification
• A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
• Estimation of high-dimensional dynamic conditional precision matrices with an application to forecast combination
• Asymptotically efficient autoregressive model selection for multistep prediction
• Multi-step estimators and shrinkage effect in time series models
• Comparison of the finite mixture of ARMA-GARCH, back propagation neural networks and support-vector machines in forecasting financial returns
• Autoregressive model selection for multistep prediction
• scientific article; zbMATH DE number 5035829 (Why is no real title available?)
• Selection between models through multi-step-ahead forecasting
• Multi‐step forecasting in the presence of breaks
• Forecasting With Dynamic Panel Data Models
• The multistep Beveridge-Nelson decomposition
• scientific article; zbMATH DE number 3849108 (Why is no real title available?)

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