Guillaume Chevillon

English

Research Papers in Economics

40Direct multi-step estimation and forecasting

A framework for economic forecasting.

A general forecast-error taxonomy. Econometric Society World Congress

A note on the estimation and prediction ineﬃciency of ‘dynamic’ estimators.

An essay on the theory of economic prediction.

Asymptotically eﬃcient selection of the order of the model for estimating parameters of a linear process.

Calculating interval forecasts.

Co-integration constraint and forecasting: An empirical examination.

Comment: Adpative forecasting. SeeChatﬁeld

Discussion: Second-generation time-series model, A comment. SeeTiao and Tsay

Estimating time series models using the relevant cost function.

Estimating time series models using the relevant forecast evaluation criterion.

Estimation based on one step ahead prediction versus estimation based on multi-step ahead prediction.

Fildes (2001). Econometric forecasting strategies and techniques.

Fitting time series model by minimizing multistep-ahead errors: a frequency domain approach.

Forecasting Non-Stationary Economic Time Series.

Hendry (1998a). Forecasting economic processes.

Hendry (1998b). Forecasting Economic Time Series. Cambridge:

Interest rate eﬀects on output: evidence from a GDP forecasting model for South Africa.

Model selection for multiperiod forecasts.

Multi-step estimation for forecasting.

Multi-step forecasting in emerging economies: an investigation of the south african gdp. Oxford economics working papers,

Multi-step forecasting. In

Multistep prediction in autoregressive processes.

Non-parametric direct multi-step estimation for forecasting economic processes.

On multi-step prediction errors methods for time series models.

On the statistical treatment of linear stochastic diﬀerence equations.

On the use of multiple models for multi-period forecasting.

Optimal simulation path estimators.

Order selection for linear time series models: a review. In T. Subba Rao (Ed.), Developments in Time Series Analysis,

Parameter estimation and model selection for multistep prediction of time series: a review.

Prediction by exponentially weighted moving averages and related methods.

Prediction with a generalized cost of error function.

Robustness of maximum likelihood estimates for multi-step predictions: the exponential smoothing case.

Some advances in non-linear and adaptive modelling in time-series analysis.

The accuracy of time series methods: the results from a forecasting competition.

The inadequacy of testing dynamic theory by comparing theoretical solutions and observed cycles.

The probability approach in econometrics.

The state of macroeconomic forecasting.

Time Series Models (2nd ed.). Hemel Hempstead: Harvester Wheatsheaf. First edition:

Uniqueness of estimated k-step prediction models of ARMA processes.

VAR forecasting under local misspeciﬁcation.

Weak’ trend for estimation and forecasting at varying horizons in ﬁnite samples. Oxford economics working papers,

Direct multi-step estimation and forecasting

http://www.ofce.sciences-po.fr/pdf/dtravail/WP2005-10.pdf

Direct multi-step estimation and forecasting

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Research Papers in Economics