This is a nice and surprisingly important distinction that matters a lot in practice:
> Notice we get good out of sample performance. If we are judging on quality of out of sample predictions (and not on system identification or inference) then direct fitting k-step out predictors looks like a justifiable strategy.
> Notice we get good out of sample performance. If we are judging on quality of out of sample predictions (and not on system identification or inference) then direct fitting k-step out predictors looks like a justifiable strategy.