Forecasting long memory time series when occasional breaks occur

In this paper, in order to investigate if a long memory model will provide good forecasts even if the real DGP is affected by level shifts (as suggested by Diebold, F.X., Inoue, A., 2001. Long memory and regime switching Journal of Econometrics, 105, 131-159) we compare via simulations the forecasting performance of long memory and occasional breaks processes.

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Year of publication:	2008
Authors:	Bisaglia, Luisa ; Gerolimetto, Margherita
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 98.2008, 3, p. 253-258
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005257736