Is it true that Forecasts two or more periods ahead can be computed either by iterating forward a one-step-ahead model (an AR or a VAR) or by estimating a multiperiod-ahead regression?
Is it true that Forecasts two or more periods ahead can be computed either by iterating forward a one-step-ahead model (an AR or a VAR) or by estimating a multiperiod-ahead regression?
Calculus For The Life Sciences
2nd Edition
ISBN:9780321964038
Author:GREENWELL, Raymond N., RITCHEY, Nathan P., Lial, Margaret L.
Publisher:GREENWELL, Raymond N., RITCHEY, Nathan P., Lial, Margaret L.
Chapter1: Functions
Section1.EA: Extended Application Using Extrapolation To Predict Life Expectancy
Problem 2EA
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Is it true that Forecasts two or more periods ahead can be computed either by iterating forward a one-step-ahead model (an AR or a VAR) or by estimating a multiperiod-ahead regression?
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Step 1
Iterated- multi-period-ahead time series forecasts are made using a one period ahead model, iterated forward for the desired number of periods, while 'direct forecasts are made using a horizon specific estimated model, where the dependent variable is the multi-period ahead value predicted.
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