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Forecasting long memory time series when occasional breaks occur

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  • Bisaglia, Luisa
  • Gerolimetto, Margherita

Abstract

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 forecasting performance of long memory and occasional breaks processes.

Suggested Citation

  • Bisaglia, Luisa & Gerolimetto, Margherita, 2008. "Forecasting long memory time series when occasional breaks occur," Economics Letters, Elsevier, vol. 98(3), pages 253-258, March.
  • Handle: RePEc:eee:ecolet:v:98:y:2008:i:3:p:253-258
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    References listed on IDEAS

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