Forecasting long memory time series when occasional breaks occur

Luisa Bisaglia and Margherita Gerolimetto ()

Economics Letters, 2008, vol. 98, issue 3, 253-258

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.

Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:98:y:2008:i:3:p:253-258

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