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Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Heinen, Florian | en |
dc.contributor.author | Sibbertsen, Philipp | en |
dc.contributor.author | Kruse, Robinson | en |
dc.date.accessioned | 2009-12-01 | - |
dc.date.accessioned | 2010-08-03T13:10:52Z | - |
dc.date.available | 2010-08-03T13:10:52Z | - |
dc.date.issued | 2009 | - |
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 |
dc.language.iso | eng | en |
dc.publisher | |aLeibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät |cHannover | en |
dc.relation.ispartofseries | |aDiskussionsbeitrag |x433 | en |
dc.subject.jel | C15 | en |
dc.subject.jel | C22 | en |
dc.subject.jel | C53 | en |
dc.subject.ddc | 330 | en |
dc.subject.stw | Zeitreihenanalyse | en |
dc.subject.stw | Strukturbruch | en |
dc.subject.stw | Simulation | en |
dc.subject.stw | Prognoseverfahren | en |
dc.title | Forecasting long memory time series under a break in persistence | - |
dc.type | |aWorking Paper | en |
dc.identifier.ppn | 613225317 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:han:dpaper:dp-433 | en |
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