A multiperiod regression forecast h periods into the future based on an AR(p) is computed
A) the same way as the iterated AR forecast.
B) by estimating the multiperiod regression Yt = ?0 + ?1Yt-h + ... + ?pYt-p-h+1 + ut, then using the estimated coefficients to compute the forecast h periods in advance.
C) by estimating the multiperiod regression Yt = ?0 + ?1Yt-h + ut , then using the estimate coefficients to compute the forecast h period in advance.
D) by first computing the one-period ahead forecast, next using that to compute the two-period ahead forecast, and so forth.
Answer: B
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