We propose a test to detect a forecast accuracy breakdown in a long memory time series and provide theoretical and simulation evidence on the memory transfer from the time series to the forecast residuals. The proposed method uses a double sup-Wald test against the alternative of a structural...

We propose a test to detect a forecast accuracy breakdown in a long memory time series and provide theoretical and simulation evidence on the memory transfer from the time series to the forecast residuals. The proposed method uses a double sup-Wald test against the alternative of a structural...