Essec\Faculty\Model\Contribution {#2216
  #_index: "academ_contributions"
  #_id: "10072"
  #_source: array:26 [
    "id" => "10072"
    "slug" => "non-parametric-direct-multi-step-estimation-for-forecasting-economic-processes"
    "yearMonth" => "2005-04"
    "year" => "2005"
    "title" => "Non-parametric Direct Multi-Step Estimation for Forecasting Economic Processes"
    "description" => "CHEVILLON, G. et HENDRY, D. (2005). Non-parametric Direct Multi-Step Estimation for Forecasting Economic Processes. <i>International Journal of Forecasting</i>, 21, pp. 201-218."
    "authors" => array:2 [
      0 => array:3 [
        "name" => "CHEVILLON Guillaume"
        "bid" => "B00072304"
        "slug" => "chevillon-guillaume"
      ]
      1 => array:1 [
        "name" => "HENDRY David"
      ]
    ]
    "ouvrage" => ""
    "keywords" => array:3 [
      0 => "Economic ForecastingAdaptive estimation ion"
      1 => "multi-step estimation"
      2 => """
        dynamic forecasts -\n
        model mis-specification
        """
    ]
    "updatedAt" => "2021-07-13 14:31:26"
    "publicationUrl" => null
    "publicationInfo" => array:3 [
      "pages" => "201-218"
      "volume" => "21"
      "number" => null
    ]
    "type" => array:2 [
      "fr" => "Articles"
      "en" => "Journal articles"
    ]
    "support_type" => array:2 [
      "fr" => "Revue scientifique"
      "en" => "Scientific journal"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => """
        We evaluate the asymptotic and finite-sample properties of direct multi-step\n
        estimation (DMS) for forecasting at several horizons. For forecast\n
        accuracy gains from DMS in finite samples, mis-specification and\n
        non-stationarity of the DGP are necessary, but when a model is\n
        well-specified, iterating the one-step ahead forecasts may not be\n
        asymptotically preferable. If a model is mis-specified for a non-stationary \n
        DGP, in particular omitting either negative residual serial correlation or regime\n
        shifts, DMS can forecast more accurately. Monte Carlo simulations\n
        clarify the non-linear dependence of the estimation and forecast biases on\n
        the parameters of the DGP, and explain existing results.
        """
      "en" => """
        We evaluate the asymptotic and finite-sample properties of direct multi-step\n
        estimation (DMS) for forecasting at several horizons. For forecast\n
        accuracy gains from DMS in finite samples, mis-specification and\n
        non-stationarity of the DGP are necessary, but when a model is\n
        well-specified, iterating the one-step ahead forecasts may not be\n
        asymptotically preferable. If a model is mis-specified for a non-stationary \n
        DGP, in particular omitting either negative residual serial correlation or regime\n
        shifts, DMS can forecast more accurately. Monte Carlo simulations\n
        clarify the non-linear dependence of the estimation and forecast biases on\n
        the parameters of the DGP, and explain existing results.
        """
    ]
    "authors_fields" => array:2 [
      "fr" => "Systèmes d'Information, Data Analytics et Opérations"
      "en" => "Information Systems, Data Analytics and Operations"
    ]
    "indexedAt" => "2024-12-22T02:21:49.000Z"
    "docTitle" => "Non-parametric Direct Multi-Step Estimation for Forecasting Economic Processes"
    "docSurtitle" => "Journal articles"
    "authorNames" => "<a href="/cv/chevillon-guillaume">CHEVILLON Guillaume</a>, HENDRY David"
    "docDescription" => "<span class="document-property-authors">CHEVILLON Guillaume, HENDRY David</span><br><span class="document-property-authors_fields">Information Systems, Data Analytics and Operations</span> | <span class="document-property-year">2005</span>"
    "keywordList" => """
      <a href="#">Economic ForecastingAdaptive estimation ion</a>, <a href="#">multi-step estimation</a>, <a href="#">dynamic forecasts -\n
      model mis-specification</a>
      """
    "docPreview" => "<b>Non-parametric Direct Multi-Step Estimation for Forecasting Economic Processes</b><br><span>2005-04 | Journal articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">Non-parametric Direct Multi-Step Estimation for Forecasting Economic Processes</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 8.831011
  +"parent": null
}