Forecasting long memory time series when occasional breaks occur
AbstractIn 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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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 98 (2008)
Issue (Month): 3 (March)
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Web page: http://www.elsevier.com/locate/ecolet
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