Multiperiod Forecasting with Multiple Predictors A $h$ Periods into the Future Based On

question 11

Short Answer

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 interated VAR since it takes all equations into account.

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