• Media type: E-Book
  • Title: Optimal forecasts in the presence of discrete structural breaks under long memory
  • Contributor: Mboya, Mwasi Paza [Author]; Sibbertsen, Philipp [Author]
  • Published: [Hannover]: [Wirtschaftswissenschaftliche Fakultät der Leibniz Universität Hannover], [2022]
  • Published in: Universität Hannover: Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät ; 705
  • Extent: 1 Online-Ressource (circa 24 Seiten); Illustrationen
  • Language: English
  • Identifier:
  • Keywords: long memory ; forecasting ; structural break ; optimal weight ; ARFIMA model ; Graue Literatur
  • Origination:
  • Footnote:
  • Description: We develop methods to obtain optimal forecast under long memory in the presence of a discrete structural break based on different weighting schemes for the observations. We observe significant changes in the forecasts when long-range dependence is taken into account. Using Monte Carlo simulations, we confirm that our methods substantially improve the forecasting performance under long memory. We further present an empirical application to in inflation rates that emphasizes the importance of our methods.
  • Access State: Open Access