Essec\Faculty\Model\Contribution {#2206
#_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" => "2024-10-13T18:22:50.000Z"
"docTitle" => "Non-parametric Direct Multi-Step Estimation for Forecasting Economic Processes"
"docSurtitle" => "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">Systèmes d'Information, Data Analytics et Opérations</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 | Articles </span>"
"docType" => "research"
"publicationLink" => "<a href="#" target="_blank">Non-parametric Direct Multi-Step Estimation for Forecasting Economic Processes</a>"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 9.076809
+"parent": null
}