Forecasting long memory time series when occasional breaks occur

Economics Letters

Volumn 98, Issue 3, 2008, Pages 253-258

  Bisaglia, Luisa ^a   Gerolimetto, Margherita ^a  

^a UNIVERSITY OF PADOVA   (Italy)

Author keywords

Forecasting; Long memory; Occasional structural breaks

Indexed keywords

EID: 39049162372     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econlet.2007.05.001     Document Type: Article

References (14)

1. Bai J., and Perron P. Estimating and testing linear models with multiple structural changes. Econometrica 66 (1998) 47-78
2. Bai J., and Perron P. Computation and analysis of multiple structural change models. Journal of Applied Econometrics 18 (2003) 1-22
3. Bhardway G., and Swanson N.R. An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series. Journal of Econometrics 131 (2006) 539-578
4. Bisaglia L., and Bordignon S. Mean square prediction error for long-memory processes. Statistical Papers 43 (2002) 161-175
5. Bisaglia L., and Gerolimetto M. Switching regime and ARFIMA processes. Working Paper vol. 3 (2005), Dep. of Statistical Sciences, University of Padova
6. Chen C., and Tiao G.C. Random level-shift time series models, ARIMA approximations, and level-shift detection. Journal of Business and Economic Statistics 8 (1990) 83-97
7. Diebold F.X., and Inoue A. Long memory and regime switching. Journal of Econometrics 105 (2001) 131-159
8. Engle R.F., and Smith A.D. Stochastic permanent breaks. The Review of Economics and Statistics 81 (1999) 553-574
9. Fox R., and Taqqu M.S. Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series. The Annals of Statistics 14 (1986) 517-532
10. Gabriel V.J., and Martins L.F. On the forecasting ability of ARFIMA models when infrequent breaks occur. Econometrics Journal 7 (2004) 455-475
11. Granger C.W.J., and Hyung N. Occasional structural breaks and long memory with an application to the S&P500 absolute stock returns. Journal of Empirical Finance 11 (2004) 399-421
12. Guegan D. How can we define the concept of long memory? An econometric survey. Econometric Reviews 24 (2005) 113-149
13. Hamilton J.D. A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica 57 (1989) 357-384
14. Ray B.K. Modelling long-memory processes for optimal long-range prediction. Journal of Time Series Analysis 14 (1993) 511-525