Multi-step Estimation for Forecasting.
The authors delineate conditions which favor multistep, or dynamic, estimation for multistep forecasting. An analytical example shows how dynamic estimation may accommodate incorrectly specified models as the forecast lead alters, improving forecast performance for some misspecifications. However, i...
| Main Authors: | , |
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| Format: | Working paper |
| Language: | English |
| Published: |
Department of Economics (University of Warwick)
1996
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