The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
DIRECT MULTI‐STEP ESTIMATION AND FORECASTING
Abstract
Abstract This paper surveys the literature on multi‐step forecasting when the model or the estimation method focuses directly on the link between the forecast origin and the horizon of interest. Among diverse contributions, we show how the current consensual concepts have emerged. We present an exhaustive overview of the existing results, including a conclusive review of the circumstances favourable to direct multi‐step forecasting, namely different forms of non‐stationarity and appropriate model design. We also provide a unifying framework which allows us to analyse the sources of forecast errors and hence of accuracy improvements from direct over iterated multi‐step forecasting.
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Allen, P. G., & Fildes, R. (2001) · International Series in Operations Research & Management Science · doi:10.1007/978-0-306-47630-3_15 · Cited by 85
Fitting Time Series Models by Minimizing Multistep-ahead Errors: A Frequency Domain Approach
Haywood, J., & Tunnicliffe Wilson, G. (1997) · Journal of the Royal Statistical Society Series B: Statistical Methodology · doi:10.1111/1467-9868.00066 · Cited by 29
Cited by
Local Projections and VARs Estimate the Same Impulse Responses
Plagborg-Møller, M., & Wolf, C. K. (2021) · Econometrica · doi:10.3982/ecta17813 · Cited by 732
Metadata
- Authors
- Chevillon, G.
- Venue
- Journal of Economic Surveys
- Publisher
- Wiley
- Published
- 2007-07-11
- Volume
- 21
- Issue
- 4
- Pages
- 746-785
- ISSN
- 0950-0804 (ISSN-L)
- 1467-6419
- OpenAlex
- W3020866103
- Cited by
- 176
- References
- 2
- FWCI
- 4.29
- Type
- journal article
- Language
- en
- Open access
- closed
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- Chevillon, G. (2007). DIRECT MULTI‐STEP ESTIMATION AND FORECASTING. Journal of Economic Surveys. https://doi.org/10.1111/j.1467-6419.2007.00518.x
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