Is it true that Forecasts two or more periods ahead can be computed either by iterating forward a one-step-ahead model (an AR or a VAR) or by estimating a multiperiod-ahead regression?

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Is it true that Forecasts two or more periods ahead can be computed either by iterating forward a one-step-ahead model (an AR or a VAR) or by estimating a multiperiod-ahead regression?

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Iterated- multi-period-ahead time series forecasts are made using a one period ahead model, iterated forward for the desired number of periods, while 'direct forecasts are made using a horizon specific estimated model, where the dependent variable is the multi-period ahead value predicted.

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