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 Y_t = δ₀ + δ₁Y_t_-_h + ... + δ_pY_t_-_p_-_h₊₁ + u_t, then using the estimated coefficients to compute the forecast h periods in advance. C)by estimating the multiperiod regression Y_t = δ₀ + δ₁Y_t_-_h + u_t , 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.

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Quizplus · Accepted Answer

The multiperiod regression forecast based on an AR(p) can be computed by estimating the regression equation that includes values of Y from t to t-p as well as the corresponding values of lags of Y and then using the estimated coefficients to compute the forecast h periods in advance. This method is different from the iterated AR forecast, which iteratively uses the one-period ahead forecast to compute the subsequent forecasts. Option C is incorrect as it does not include the lags of Y in the regression equation. Option D is incorrect as it assumes a recursive approach instead of a direct regression-based approach.

A Multiperiod Regression Forecast H Periods into the Future Based