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.
Forecastic long memory time series when occasional break occur
GEROLIMETTO, Margherita;
2008-01-01
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.
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