Multi-step estimation and forecasting in dynamic models

DOI10.1016/0304-4076(91)90035-CzbMath0722.62070OpenAlexW1984717679MaRDI QIDQ756348

Andrew A. Weiss

Publication date: 1991

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(91)90035-c

zbMATH Keywords

Monte Carlosquared errorsordinary least squareslarge samplesOLSmisspecified modelsmall samplesmulti-step forecastingsum of squared multi-step forecast errors

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

Related Items (6)

VAR forecasting under misspecification ⋮ A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series ⋮ Asymptotically efficient autoregressive model selection for multistep prediction ⋮ Comparison of the finite mixture of ARMA-GARCH, back propagation neural networks and support-vector machines in forecasting financial returns ⋮ Autoregressive model selection for multistep prediction ⋮ The Multistep Beveridge–Nelson Decomposition

Uses Software

• nlmdl

Cites Work

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• Exogeneity
• Nonlinear Regression with Dependent Observations
• Consistency in Nonlinear Econometric Models: A Generic Uniform Law of Large Numbers
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Nonlinear Regression on Cross-Section Data
• A Note on the Estimation and Prediction Inefficiency of "Dynamic" Estimators
• Specification Tests in Econometrics
• Asymptotic Properties of Non-Linear Least Squares Estimators

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