The forecast performance of long memory and Markov switching models
Recent research has focused on the links between long memory and structural change, stressing the long memory properties that may arise in models with parameter changes. In this paper, we contribute to this research by comparing the forecasting abilities of long memory and Markov switching models. T...
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| Format: | workingPaper |
| Language: | eng |
| Published: |
2000
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| Online Access: | http://hdl.handle.net/1822/1414 |
| Country: | Portugal |
| Oai: | oai:repositorium.sdum.uminho.pt:1822/1414 |