Prediction from ARFIMA models: Comparisons between MLE and semiparametric estimation procedures

Richard T. Baillie, Chaleampong Kongcharoen and George Kapetanios

International Journal of Forecasting, 2012, vol. 28, issue 1, 46-53

Abstract: This paper considers the effects on multi-step prediction of using semiparametric local Whittle estimators rather than MLE for long memory ARFIMA models. We consider various representations of the minimum MSE predictor with known parameters. We then conduct a detailed simulation study for when the true parameters are replaced with estimates. The predictor based on MLE is found to be superior, in the MSE sense, to the predictor based on the two-step local Whittle estimation. The “optimal” bandwidth local Whittle estimator produces worse predictions than the local Whittle using an agnostic bandwidth of the square root of the sample size.

Keywords: Long-memory time series; Semiparametric estimation; Whittle estimators; ARFIMA models; Multi-step forecasting (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:28:y:2012:i:1:p:46-53

DOI: 10.1016/j.ijforecast.2011.02.012

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