Franses, Philip Hans; Hyung, Hyung, N. - Faculteit der Economische Wetenschappen, Erasmus … - 2001
the same time, for some of these variables there is evidence of long memory. In particular, it seems that inflation rates … finding of long-memory properties. In this paper we focus on this issue within the context of out-of-sample forecasting. First …, we show that indeed data with breaks can be viewed as long-memory data. Next, we compare time series models with …