Forecasting long memory time series when occasional breaks occur
DOI10.1016/J.ECONLET.2007.05.001zbMATH Open1255.62294OpenAlexW2006076371WikidataQ126263511 ScholiaQ126263511MaRDI QIDQ1934693FDOQ1934693
Authors: Luisa Bisaglia, Margherita Gerolimetto 
Publication date: 29 January 2013
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2007.05.001
Recommendations
- On the forecasting ability of ARFIMA models when infrequent breaks occur
- Forecasting a long memory process subject to structural breaks
- (WHEN) DO LONG AUTOREGRESSIONS ACCOUNT FOR NEGLECTED CHANGES IN PARAMETERS?
- Long memory versus structural breaks: an overview
- Testing structural breaks versus long memory with the Box-Pierce statistics: a Monte Carlo study
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)
Cites Work
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Estimating and Testing Linear Models with Multiple Structural Changes
- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
- Long memory and regime switching
- An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series
- On the forecasting ability of ARFIMA models when infrequent breaks occur
- How can we Define the Concept of Long Memory? An Econometric Survey
- Mean square prediction error for long-memory processes
- MODELING LONG-MEMORY PROCESSES FOR OPTIMAL LONG-RANGE PREDICTION
Cited In (6)
- On the predictability of long-range dependent series
- Bayesian analysis of a linear model involving structural changes in either regression parameters or disturbances precision
- Forecasting a long memory process subject to structural breaks
- Multi‐step forecasting in the presence of breaks
- On the forecasting ability of ARFIMA models when infrequent breaks occur
- Out-of-sample forecast errors in misspecific perturbed long memory processes.
This page was built for publication: Forecasting long memory time series when occasional breaks occur
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1934693)
