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 Yt , rather than the iterated VAR forecast method.
D) will always yield superior results using the iterated VAR since it takes all equations into account.
Answer: B
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