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 Y_t , 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

Quizplus · Accepted Answer

Multiperiod forecasting with multiple predictors can use the iterated VAR forecast method, which takes into account all equations and lagged values of the variables. This method is more appropriate for models with multiple predictors and can provide accurate forecasts for various periods into the future. The other options are not necessarily incorrect, but do not provide the best choice for multiperiod forecasting with multiple predictors.

Multiperiod Forecasting with Multiple Predictors