An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series

Geetesh Bhardwaj () and Norman R. Swanson ()

Journal of Econometrics, 2006, vol. 131, issue 1-2, pages 539-578

Date: 2006
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Working Paper: An Empirical Investigation of the Usefulness of ARFIMA Models for Predicting Macroeconomic and Financial Time Series (2004)
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Persistent link: http://EconPapers.repec.org/RePEc:eee:econom:v:131:y:2006:i:1-2:p:539-578

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Journal of Econometrics is edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao, P. M. Robinson and A. Zellner

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