Non-parametric direct multi-step estimation for forecasting economic processes
We evaluate the asymptotic and finite-sample properties of direct multi-step estimation (DMS) for forecasting at several horizons. For forecast accuracy gains from DMS in finite samples, mis-specification and non-stationarity of the DGP are necessary, but when a model is well-specified, iterating th...
| Principais autores: | , |
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| Formato: | Working paper |
| Publicado em: |
University of Oxford
2004
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