Direct Multi-Step Estimation and Forecasting

40 Pages Posted: 15 Jul 2006

Date Written: February 2006

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.

Keywords: Multi-step Forecasting, Direct estimation, Varying Horizon, Structural breaks, Non-stationarity

JEL Classification: C22, C32, C53

Suggested Citation

Chevillon, Guillaume, Direct Multi-Step Estimation and Forecasting (February 2006). Available at SSRN: https://ssrn.com/abstract=914618 or http://dx.doi.org/10.2139/ssrn.914618

Guillaume Chevillon (Contact Author)

ESSEC Business School ( email )

Avenue Bernard Hirsch B.P. 50105
Cergy-Pontoise (Paris), 95021
France

HOME PAGE: http://guillaume-chevillon.faculty.essec.edu/