A Multiperiod Regression Forecast H Periods into the Future Based $Y _ { t } = \delta _ { 0 } + \delta _ { 1 } Y _ { t - h } + \ldots + \delta _ { p } Y _ { t - p - h + 1 } + u _ { t }$

Short Answer

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 $Y _ { t } = \delta _ { 0 } + \delta _ { 1 } Y _ { t - h } + \ldots + \delta _ { p } Y _ { t - p - h + 1 } + u _ { t }$ , then using the estimated coefficients to compute the forecast $h$ periods in advance.
c. by estimating the multiperiod regression $Y _ { t } = \delta _ { 0 } + \delta _ { 1 } Y _ { t - h } + u _ { t }$ , then using the estimate coefficients to comput 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.