Direct and iterated multistep AR methods for difference stationary processes
نویسندگان
چکیده
منابع مشابه
A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
‘‘Iterated’’ multiperiod-ahead time series forecasts are made using a one-period ahead model, iterated forward for the desired number of periods, whereas ‘‘direct’’ forecasts are made using a horizon-specific estimated model, where the dependent variable is the multiperiod ahead value being forecasted. Which approach is better is an empirical matter: in theory, iterated forecasts are more effic...
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ژورنال
عنوان ژورنال: International Journal of Forecasting
سال: 2011
ISSN: 0169-2070
DOI: 10.1016/j.ijforecast.2010.05.014