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Leibniz Universität Hannover >
Wirtschaftswissenschaftliche Fakultät, Universität Hannover >
Diskussionspapiere, Wirtschaftswissenschaftliche Fakultät, Universität Hannover >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/37129
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Heinen, Florian | | en_US |
| dc.contributor.author | | Sibbertsen, Philipp | | en_US |
| dc.contributor.author | | Kruse, Robinson | | en_US |
| dc.date.accessioned | | 2009-12-01 | | en_US |
| dc.date.accessioned | | 2010-08-03T13:10:52Z | | - |
| dc.date.available | | 2010-08-03T13:10:52Z | | - |
| dc.date.issued | | 2009 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/37129 | | - |
| dc.description.abstract | | We consider the problem of forecasting time series with long memory when the memory parameter is subject to a structural break. By means of a large-scale Monte Carlo study we show that ignoring such a change in persistence leads to substantially reduced forecasting precision. The strength of this effect depends on whether the memory parameter is increasing or decreasing over time. A comparison of six forecasting strategies allows us to conclude that pre-testing for a change in persistence is highly recommendable in our setting. In addition we provide an empirical example which underlines the importance of our findings. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Wirtschaftswiss. Fak., Leibniz Univ. Hannover | | en_US |
| dc.relation.ispartofseries | | Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät // Wirtschaftswissenschaftliche Fakultät, Leibniz Universität Hannover 433 | | en_US |
| dc.subject.jel | | C15 | | en_US |
| dc.subject.jel | | C22 | | en_US |
| dc.subject.jel | | C53 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.stw | | Zeitreihenanalyse | | en_US |
| dc.subject.stw | | Strukturbruch | | en_US |
| dc.subject.stw | | Simulation | | en_US |
| dc.subject.stw | | Prognoseverfahren | | en_US |
| dc.title | | Forecasting long memory time series under a break in persistence | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 613225317 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | Diskussionspapiere, Wirtschaftswissenschaftliche Fakultät, Universität Hannover
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