Feature request: Direct forecast
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- Dominant language
- R
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Description
If I understand correctly, fable (and forecast) only deal with iterated forecasts, i.e., multiperiod-ahead time series forecasts are made using a one-period ahead model. Am I right? If so, would it be possible to add the option for direct forecasts, made using a horizon-specific estimated model, where the dependent variable is the multi-period ahead value being forecasted?
Reference
Marcellino, M., Stock, J. H., & Watson, M. W. (2006). A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series. Journal of Econometrics, 135(1-2), 499-526.
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First steps
- Read the whole issue, then the project's contributing guide.
- Comment on the issue to say you are picking it up — it saves two people doing the same work.
- Fork the repository and make your change on a branch.
- Open a pull request that references the issue number.
Research direction
Start by reviewing how fable and forecast currently produce iterated multiperiod forecasts, then read the cited Marcellino, Stock, and Watson paper on direct versus iterated methods. Done means defining and implementing a clear option for horizon-specific direct forecasts, with its behavior established for users.
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Assessment
- Tech stack
- r
- Domain
- data
- Issue type
- Feature
- Difficulty
- 5/5
- Estimated time
- Over a week
- Activity status
- Stale
- Clarity
- Needs clarification
- Newbie friendliness
- 25/100