Proietti, Tommaso (2008): Direct and iterated multistep AR methods for difference stationary processes.
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Abstract
The paper focuses on the comparison of the direct and iterated AR predictors for difference stationary processes. In particular, it provides new methods for comparing the efficiency of the two predictors and for extracting the trend from macroeconomic time series using the two methods. The methods are based on an encompassing representation for the two predictors which enables to derive their properties quite easily under a maintained model. The paper provides an analytic expression for the mean square forecast error of the two predictors and derives useful recursive formulae for computing the direct and iterated coefficients. From the empirical standpoint, we propose estimators of the AR coefficients based on the tapered Yule Walker estimates; we also provide a test of equal forecast accuracy which is very simple to implement and whose critical values are obtained with the bootstrap method.
Item Type:  MPRA Paper 

Original Title:  Direct and iterated multistep AR methods for difference stationary processes 
Language:  English 
Keywords:  Multistep estimation; Tapered YuleWalker estimates; Forecast combination. 
Subjects:  C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C51  Model Construction and Estimation C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C53  Forecasting and Prediction Methods; Simulation Methods C  Mathematical and Quantitative Methods > C2  Single Equation Models; Single Variables > C22  TimeSeries Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models 
Item ID:  15343 
Depositing User:  Tommaso Proietti 
Date Deposited:  25. May 2009 09:42 
Last Modified:  15. Feb 2013 23:10 
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URI:  http://mpra.ub.unimuenchen.de/id/eprint/15343 
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Direct and iterated multistep AR methods for difference stationary processes. (deposited 01. Oct 2008 08:41)
 Direct and iterated multistep AR methods for difference stationary processes. (deposited 25. May 2009 09:42) [Currently Displayed]