Smooth robust multi-horizon forecasts

We investigate whether smooth robust methods for forecasting can help mitigate pronounced and persistent failure across multiple forecast horizons. We demonstrate that naive predictors are interpretable as local estimators of the long-run relationship with the advantage of adapting quickly after a b...

Ausführliche Beschreibung

Bibliographische Detailangaben
Hauptverfasser: Martinez, AB, Castle, JL, Hendry, DF
Weitere Verfasser: Chudik, A
Format: Journal article
Sprache:English
Veröffentlicht: Emerald 2022