Author Question: Multiperiod forecasting with multiple predictors A) is the same as the iterated AR forecast ... (Read 230 times)

Sufayan.ah · **on:** Jun 29, 2018

Multiperiod forecasting with multiple predictors

A) is the same as the iterated AR forecast method.
B) can use the iterated VAR forecast method.
C) will yield superior results when using the multiperiod regression forecast h periods into the future based on p lags of each Yt , rather than the iterated VAR forecast method.
D) will always yield superior results using the iterated VAR since it takes all equations into account.

Question 2

Estimation by WLS

A) although harder than OLS, will always produce a smaller variance.
B) does not mean that you should use homoskedasticity-only standard errors on the transformed equation.
C) requires quite a bit of knowledge about the conditional variance function.
D) makes it very hard to interpret the coefficients, since the data is now weighted and not any longer in its original form.