| Article ID: | iaor19942528 |
| Country: | United Kingdom |
| Volume: | 13 |
| Issue: | 1 |
| Start Page Number: | 1 |
| End Page Number: | 9 |
| Publication Date: | Jan 1994 |
| Journal: | International Journal of Forecasting |
| Authors: | Granger C.W.J., Lin J.-L. |
If a simple non-linear autoregressive time-series model is suggested for a series, it is not straightforward to produce multi-step forecasts from it. Several alternative theoretical approaches are discussed and then compared with a simulation study only for the two-step case. It is suggested that fitting a new model for each forecast horizon may be a satisfactory strategy.