Forecasting long memory time series when occasional breaks occur
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Cites work
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series
- Estimating and Testing Linear Models with Multiple Structural Changes
- How can we Define the Concept of Long Memory? An Econometric Survey
- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
- Long memory and regime switching
- MODELING LONG-MEMORY PROCESSES FOR OPTIMAL LONG-RANGE PREDICTION
- Mean square prediction error for long-memory processes
- On the forecasting ability of ARFIMA models when infrequent breaks occur
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.
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