EconPapers    
Economics at your fingertips  
 

DIRECT MULTI‐STEP ESTIMATION AND FORECASTING

Guillaume Chevillon ()

Journal of Economic Surveys, 2007, vol. 21, issue 4, 746-785

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.

Date: 2007
References: Add references at CitEc
Citations: View citations in EconPapers (41) Track citations by RSS feed

Downloads: (external link)
https://doi.org/10.1111/j.1467-6419.2007.00518.x

Related works:
Working Paper: Direct multi-step estimation and forecasting (2005) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jecsur:v:21:y:2007:i:4:p:746-785

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0950-0804

Access Statistics for this article

More articles in Journal of Economic Surveys from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().

 
Page updated 2021-09-08
Handle: RePEc:bla:jecsur:v:21:y:2007:i:4:p:746-785