Utilize este identificador para referenciar este registo:
https://hdl.handle.net/1822/1479
Título: | On the forecasting ability of ARFIMA models when infrequent breaks occur |
Autor(es): | Gabriel, Vasco J. Martins, Luís |
Palavras-chave: | Long Memory Regime switching Forecasting |
Data: | Dez-2004 |
Editora: | Blackwell Publishing |
Citação: | "Econometrics Journal". ISSN 1368-4221. 7 (2004) 455-475. |
Resumo(s): | Recent research has focused on the links between long memory and structural breaks, stressing the memory properties that may arise in models with parameter changes. In this paper, we question the implications of this result for forecasting. We contribute to this research by comparing the forecasting abilities of long memory and Markov switching models. Two approaches are employed: the Monte Carlo study and an empirical comparison, using the quarterly Consumer Price inflation rate in Portugal in the period 1968–1998. Although long memory models may capture some in-sample features of the data, we find that their forecasting performance is relatively poor when shifts occur in the series, compared to simple linear and Markov switching models. |
Tipo: | Artigo |
URI: | https://hdl.handle.net/1822/1479 |
ISSN: | 1368-4221 1368-423X |
Arbitragem científica: | yes |
Acesso: | Acesso aberto |
Aparece nas coleções: | NIPE - Artigos em Revistas de Circulação Internacional com Arbitragem Científica |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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gabriel2004.pdf | 166,1 kB | Adobe PDF | Ver/Abrir |