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

By Findley, David F.

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Book Id: WPLBN0000582981
Format Type: PDF eBook
File Size: 729,713 KB.
Reproduction Date: 2005

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
Collections: U.S. Census Bureau Collection
Historic
Publication Date:
Publisher: U.S. Census Bureau Department

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Findley, D. F. (n.d.). On Using a Different Time Series Forecasting Model for Each Forecast Lead. Retrieved from http://community.ebooklibrary.org/


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.

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