Understanding multi-horizon forecasts: identification, estimation and testing

DOI10.1111/JTSA.12797MaRDI QIDQ6911349zbMATH OpenFDO

Authors Stan Hurn, Vance Martin, Jing Tian, Lina Xu

Publication date 24 October 2025

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/JTSA.12797

zbMATH Keywords

fixed-information forecastsfixed-target forecastsinformation updatingmulti-horizon forecastsrationality testingsimulation experiments

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Estimation in multivariate analysis (62H12) Applications of statistics to economics (62P20)

Cites work

• A Family of Variable-Metric Methods Derived by Variational Means
• A new approach to variable metric algorithms
• A new framework for analyzing survey forecasts using three-dimensional panel data
• Conditioning of Quasi-Newton Methods for Function Minimization
• Econometric modelling with time series. Specification, estimation and testing
• Estimation When a Parameter is on a Boundary
• Forecast Rationality Tests Based on Multi-Horizon Bounds
• Large Sample Properties of Generalized Method of Moments Estimators
• Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach
• Testing When a Parameter is on the Boundary of the Maintained Hypothesis
• The Convergence of a Class of Double-rank Minimization Algorithms 1. General Considerations
• The Estimation of Economic Relationships using Instrumental Variables
• The Theory of Inventory Decisions

This page was built for publication: Understanding multi-horizon forecasts: identification, estimation and testing

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6911349)