Multi-step forecasting in emerging economies: An investigation of the South African GDP

Guillaume Chevillon

International Journal of Forecasting, 2009, vol. 25, issue 3, 602-628

Abstract: To forecast at several, say h, periods into the future, a modeller faces a choice between iterating one-step-ahead forecasts (the IMS technique), or directly modeling the relationship between observations separated by an h-period interval and using it for forecasting (DMS forecasting). It is known that structural breaks, unit-root non-stationarity and residual autocorrelation may improve DMS accuracy in finite samples, all of which occur when modelling the South African GDP over the period 1965-2000. This paper analyzes the forecasting properties of 779 multivariate and univariate models that combine different techniques of robust forecasting. We find strong evidence supporting the use of DMS and intercept correction, and attribute their superior forecasting performance to their robustness in the presence of breaks.

Keywords: Multi-step; forecasting; Intercept; correction; Structural; breaks (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0169-2070(08)00150-7
Full text for ScienceDirect subscribers only

Related works:
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:eee:intfor:v:25:y:2009:i:3:p:602-628

Access Statistics for this article

International Journal of Forecasting is currently edited by R. J. Hyndman

More articles in International Journal of Forecasting from Elsevier
Bibliographic data for series maintained by Catherine Liu ().