Practical aspects of likelihood-based inference and forecasting of series with long memory are considered, based on the arfima(p; d; q) model with deterministic regressors. Sampling characteristics of approximate and exact first-order asymptotic methods are compared. The analysis is extended...

We describe a general theoretical framework against which recent results in economic forecasting can be judged, including explanations for the findings of forecasting competitions, the prevalence of forecast failure, and the role of causal variables. We compare this framework to a previous...

We describe some recent developments in PcGets, and consider their impact on its performance across different (unknown) states of nature. We discuss the consistency of its selection procedures, and examine the extent to which model selection is non-distortionary at relevant sample sizes. The...