n-step ahead forecasts
Posted: Fri Apr 30, 2010 11:59 am
Hi,
I currently have a quarterly model of inflation thus the forecasts i produce from this model are one-step ahead forecasts e.g. QoQ changes
I am unsure how I would produce four-step ahead forecasts e.g. 1yr ahead forecasts for inflation.
The model is as such:
Inflation=Constant+Four quarters of lagged inflation+money growth+error term
Where the 4Q lagged inflation is essentialy a AR(4) model
I currently have a quarterly model of inflation thus the forecasts i produce from this model are one-step ahead forecasts e.g. QoQ changes
I am unsure how I would produce four-step ahead forecasts e.g. 1yr ahead forecasts for inflation.
The model is as such:
Inflation=Constant+Four quarters of lagged inflation+money growth+error term
Where the 4Q lagged inflation is essentialy a AR(4) model