On Using a Different Time Series Forecasting Model for Each Forecast Lead

By Findley, David F.

Description
Statistical Reference Document

Excerpt
Excerpt: This paper advances simple theoretical arguments in favor of selecting and estimating a different linear forecasting ?model? for each prediction period (lead) m for which a forecast is desired. For these arguments, it is assumed that the series being forecast is covariance stationary and is not perfectly modeled by the one-period-ahead forecasting model which is fit to it. Two examples are given using well-known series which illustrate one possible implementation of a multi-model forecasting procedure for autoregressive forecasting.

Table of Contents
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Book Id: WPLBN0000582981
Format Type: PDF eBook
File Size: 729,713 KB.
Reproduction Date: 2005
Full Text

Title:

On Using a Different Time Series Forecasting Model for Each Forecast Lead

Author:

Findley, David F.

Volume:

Language:

English

Subject:

Government publications, Census., Census report

Collection:

U.S. Census Bureau Collection

Subcollection:

Historic
Publication Date:

Publisher:

U.S. Census Bureau Department

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