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.
Forecasting long memory time series when occasional breaks occur
BISAGLIA, LUISA;GEROLIMETTO, MARGHERITA
2008
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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