recursive vs. direct multi-step ahead forecasting

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ac_1
Posts: 495
Joined: Thu Apr 15, 2010 6:30 am

Re: recursive vs. direct multi-step ahead forecasting

Unread post by ac_1 »

Hence,

1. If I want both Direct Forecasts & Direct forecast SE's, and plot a fan chart, the LINREG calculations are applicable just for a stationary series.

2. If I am modelling a non-stationary I(1) series y, I can input the DIFFERENCES dy in LINREG, Direct Forecast the DIFFERENCES dyhat, back-out the Direct Forecast LEVELS (via accumulate dyhat and adding back to the last actual LEVEL y) but just for the DIRECT Forecasts?
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TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: recursive vs. direct multi-step ahead forecasting

Unread post by TomDoan »

LINREG can be used for non-stationary series.
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