This paper proposes a methodology to jointly generate optimal forecasts
from an autoregression of order p for 1 to h steps ahead. The relevant model is
a Partial Least Squares Autoregression, which is positioned in between a single
AR(p) model for all forecast horizons and different AR models for different
horizons. Representation, estimation and forecasting using the new model are
discussed. An illustration for US industrial production shows the merits of
the methodology
