Bisaglia, Luisa; Gerolimetto, Margherita - In: Economics Letters 98 (2008) 3, pp. 253-258
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...
