Question #89
Reading: Reading 2 Time-Series Analysis
PDF File: Reading 2 Time-Series Analysis.pdf
Page: 42
Status: Unattempted
Question
Which of the following statements regarding an out-of-sample forecast is least accurate?
Answer Choices:
A. Out-of-sample forecasts are of more importance than in-sample forecasts to the analyst using an estimated time-series model
B. There is more error associated with out-of-sample forecasts, as compared to in- sample forecasts
C. Forecasting is not possible for autoregressive models with more than two lags
Explanation
Forecasts in autoregressive models are made using the chain-rule, such that the earlier
forecasts are made first. Each later forecast depends on these earlier forecasts.