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 the...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Elsevier
2005
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