{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,2,6]],"date-time":"2026-02-06T21:03:01Z","timestamp":1770411781572,"version":"3.49.0"},"reference-count":30,"publisher":"Cambridge University Press (CUP)","issue":"4","license":[{"start":{"date-parts":[[2013,1,16]],"date-time":"2013-01-16T00:00:00Z","timestamp":1358294400000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2013,8]]},"abstract":"<jats:p>This paper considers the conventional recursive (otherwise known as plug-in) and direct multistep forecasts in a panel vector autoregressive framework. We derive asymptotic expressions for the mean square prediction error (MSPE) of both forecasts as<jats:italic>N<\/jats:italic>(cross sections) and<jats:italic>T<\/jats:italic>(time periods) grow large. Both the bias and variance of the least squares fitting are manifest in the MSPE. Using these expressions, we consider the effect of model specification on predictor accuracy. When the fitted lag order (<jats:italic>q<\/jats:italic>) is equal to or exceeds the true lag order (<jats:italic>p<\/jats:italic>), the direct MSPE is larger than the recursive MSPE. On the other hand, when the fitted lag order is underspecified, the direct MSPE is smaller than the recursive MSPE. The recursive MSPE is increasing in<jats:italic>q<\/jats:italic>for all<jats:italic>q<\/jats:italic>\u2265<jats:italic>p<\/jats:italic>. In contrast, the direct MSPE is not monotonic in<jats:italic>q<\/jats:italic>within the permissible parameter space. Extensions to bias-corrected least squares estimators are considered.<\/jats:p>","DOI":"10.1017\/s0266466612000679","type":"journal-article","created":{"date-parts":[[2013,1,16]],"date-time":"2013-01-16T14:13:25Z","timestamp":1358345605000},"page":"699-734","source":"Crossref","is-referenced-by-count":14,"title":["MULTISTEP PREDICTION OF PANEL VECTOR AUTOREGRESSIVE PROCESSES"],"prefix":"10.1017","volume":"29","author":[{"given":"Ryan","family":"Greenaway-McGrevy","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2013,1,16]]},"reference":[{"key":"S0266466612000679_ref8","first-page":"425","article-title":"Direct autoregressive predictors for multistep prediction: Order selection and performance relative to plug-in predictors","volume":"7","author":"Bhansali","year":"1997","journal-title":"Statistica 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