Asymptotic prediction of mean squared error for long-memory processes with estimated parameters
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- Tanaka, Katsuto, 1999. "The Nonstationary Fractional Unit Root," Econometric Theory, Cambridge University Press, vol. 15(04), pages 549-582, August.
- Tanaka, Katsuto & Maekawa, Koichi, 1984. "The sampling distributions of the predictor for an autoregressive model under misspecifications," Journal of Econometrics, Elsevier, vol. 25(3), pages 327-351, July.
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- Baillie, Richard T. & Kongcharoen, Chaleampong & Kapetanios, George, 2012. "Prediction from ARFIMA models: Comparisons between MLE and semiparametric estimation procedures," International Journal of Forecasting, Elsevier, vol. 28(1), pages 46-53.
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