Multi-Step Estimation for Forecasting.
We delineate conditions which favour multi-step, or dynamic estimation for multi-step forecasting. An analytical example shows how dynamic estimation (DE) may accomodateincorrectly-specified models as the forecast lead alters, improving forecast performance for some mis-specifications. However, in c...
| Main Authors: | , |
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| Format: | Working paper |
| Language: | English |
| Published: |
Department of Economics (University of Warwick)
1996
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