Template-type: ReDIF-Paper 1.0
Author-Name: Guillaume Chevillon
Author-Email: guillaume.chevillon@bnc.ox.ac.uk
Author-Workplace-Name: Economcis Department, University of Oxford
Author-Name:  David F. Hendry
Author-Email: david.hendry@economics.ox.ac.uk
Author-Workplace-Name: Economics Department, University of Oxford
Title: Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes
Abstract: We evaluate the asymptotic and finite-sample properties of direct multi-step 
estimation (DMS) for forecasting at several horizons. For forecast accuracy 
gains from DMS in finite samples, mis-specification and non-stationarity of 
the DGP are necessary, but when a model is well-specified, iterating the 
one-step ahead forecasts may not be asymptotically preferable. If a model
is mis-specified for a non-stationary DGP, omitting either negative residual 
serial correlation or regime shifts, DMS can forecast more accurately. 
Monte Carlo simulations clarify the non-linear dependence of the estimation 
and forecast biases on the parameters of the DGP, and explain existing results.
Classification-JEL:C32, C51, C53
Keywords:Adaptive estimation, multi-step estimation, dynamic forecasts, model mis-specification.
Length: 27 pages
Creation-Date:2004-05-24
Number:2004-W12
File-URL: http://www.nuff.ox.ac.uk/economics/papers/2004/w12/ChevillonHendry2004.pdf
File-Format: application/pdf
Handle: RePEc:nuf:econwp:0412