| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4963 |
| DP4963 Product Market Integration, Wages and Inequality | |
| Torben M Andersen; Allan Sorensen | |
| 发表日期 | 2005-03-23 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | ?Iterated? multiperiod ahead time series forecasts are made using a one-period ahead model, iterated forward for the desired number of periods, whereas ?direct? forecasts are made using a horizon-specific estimated model, where the dependent variable is the multi-period ahead value being forecasted. Which approach is better is an empirical matter: in theory, iterated forecasts are more efficient if correctly specified, but direct forecasts are more robust to model misspecification. This paper compares empirical iterated and direct forecasts from linear univariate and bivariate models by applying simulated out-of-sample methods to 171 US monthly macroeconomic time series spanning 1959-2002. The iterated forecasts typically outperform the direct forecasts, particularly if the models can select long lag specifications. The relative performance of the iterated forecasts improves with the forecast horizon. |
| 主题 | International Macroeconomics |
| 关键词 | Multistep forecasts Var forecasts Forecast comparisons |
| URL | https://cepr.org/publications/dp4963 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533862 |
| 推荐引用方式 GB/T 7714 | Torben M Andersen,Allan Sorensen. DP4963 Product Market Integration, Wages and Inequality. 2005. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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