Search Results - subject:"Multistep estimation"

Direct and iterated multistep AR methods for difference stationary processes

Proietti, Tommaso - Volkswirtschaftliche Fakultät, … - 2008

The paper focuses on the comparison of the direct and iterated AR predictors when Xt is a difference stationary process. In particular, it provides some useful results for comparing the efficiency of the two predictors and for extracting the trend from macroeconomic time series using the two...

Persistent link: https://www.econbiz.de/10005668394

Direct and iterated multistep AR methods for difference stationary processes

Proietti, Tommaso - In: International Journal of Forecasting 27 (2011) 2, pp. 266-280

The paper focuses on a comparison between the direct and iterated AR predictors for difference stationary processes. In particular, it provides new methods for comparing the efficiency of the two predictors. The methods are based on an encompassing representation for the two predictors, which...

Persistent link: https://www.econbiz.de/10010573794

Forecasting and Signal Extraction with Misspecified Models

Proietti, Tommaso - EconWPA - 2004

cross- validation is not a suitable estimation criterion for the purpose considered, whereas multistep estimation can be …The paper illustrates and compares estimation methods alternative to maximum likelihood, among which multistep … estimation and leave-one-out cross-validation, for the purposes of signal extraction, and in particular the separation of the …

Persistent link: https://www.econbiz.de/10005556402