Multi-step estimation and forecasting in dynamic models

DOI10.1016/0304-4076(91)90035-CzbMATH Open0722.62070OpenAlexW1984717679MaRDI QIDQ756348FDOQ756348

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

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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)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Misspecified models with dependent observations
• Nonlinear Regression with Dependent Observations
• Consistency in Nonlinear Econometric Models: A Generic Uniform Law of Large Numbers
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Nonlinear Regression on Cross-Section Data
• Specification Tests in Econometrics
• Asymptotic Properties of Non-Linear Least Squares Estimators
• Exogeneity
• 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
• A Note on the Estimation and Prediction Inefficiency of "Dynamic" Estimators

Cited In (13)

• Estimation of high-dimensional dynamic conditional precision matrices with an application to forecast combination
• VAR forecasting under misspecification
• A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
• Multi-step estimators and shrinkage effect in time series models
• Asymptotically efficient autoregressive model selection for multistep prediction
• 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
• Title not available (Why is that?)
• The Multistep Beveridge–Nelson Decomposition
• Selection between models through multi-step-ahead forecasting
• Multi‐step forecasting in the presence of breaks
• Forecasting With Dynamic Panel Data Models
• Title not available (Why is that?)

Uses Software

• nlmdl

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