A multiperiod regression forecast h periods into the future based on an AR(p)is computed
A)the same way as the iterated AR forecast.
B)by estimating the multiperiod regression Yt = δ0 + δ1Yt-h + ...+ δpYt-p-h+1 + ut,then using the estimated coefficients to compute the forecast h periods in advance.
C)by estimating the multiperiod regression Yt = δ0 + δ1Yt-h + ut ,then using the estimate coefficients to compute the forecast h period in advance.
D)by first computing the one-period ahead forecast,next using that to compute the two-period ahead forecast,and so forth.

Question

Quizplus · Accepted Answer

To compute a multiperiod regression forecast h periods into the future based on an AR(p), we need to estimate a multiperiod regression model that includes the past p periods of the time series as regressors. The estimated coefficients of this model can then be used to compute the forecast h periods in advance. Therefore, choice B is the correct answer. Choices A, C, and D do not accurately describe the process of computing a multiperiod regression forecast based on an AR(p).

A Multiperiod Regression Forecast H Periods into the Future Based