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
icon
Related questions
Question

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?

Expert Solution
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.

steps

Step by step

Solved in 2 steps

Blurred answer
Knowledge Booster
Time Series Analyses, Forecasting Methods, and Indices
Learn more about
Need a deep-dive on the concept behind this application? Look no further. Learn more about this topic, statistics and related others by exploring similar questions and additional content below.
Similar questions
Recommended textbooks for you
Calculus For The Life Sciences
Calculus For The Life Sciences
Calculus
ISBN:
9780321964038
Author:
GREENWELL, Raymond N., RITCHEY, Nathan P., Lial, Margaret L.
Publisher:
Pearson Addison Wesley,
Trigonometry (MindTap Course List)
Trigonometry (MindTap Course List)
Trigonometry
ISBN:
9781305652224
Author:
Charles P. McKeague, Mark D. Turner
Publisher:
Cengage Learning
College Algebra
College Algebra
Algebra
ISBN:
9781938168383
Author:
Jay Abramson
Publisher:
OpenStax
Glencoe Algebra 1, Student Edition, 9780079039897…
Glencoe Algebra 1, Student Edition, 9780079039897…
Algebra
ISBN:
9780079039897
Author:
Carter
Publisher:
McGraw Hill
Linear Algebra: A Modern Introduction
Linear Algebra: A Modern Introduction
Algebra
ISBN:
9781285463247
Author:
David Poole
Publisher:
Cengage Learning
Big Ideas Math A Bridge To Success Algebra 1: Stu…
Big Ideas Math A Bridge To Success Algebra 1: Stu…
Algebra
ISBN:
9781680331141
Author:
HOUGHTON MIFFLIN HARCOURT
Publisher:
Houghton Mifflin Harcourt