Forecasting long memory series subject to structural change: A two-stage approach

Papailias, F. and Dias, G.F. (2015) Forecasting long memory series subject to structural change: A two-stage approach. International Journal of Forecasting, 31 (4). pp. 1056-1066. ISSN 0169-2070

Abstract

Metadata

Authors/Creators:
  • Papailias, F.
  • Dias, G.F.
Copyright, Publisher and Additional Information: © 2015 Elsevier. This is an author produced version of a paper subsequently published in International Journal of Forecasting. Uploaded in accordance with the publisher's self-archiving policy. Article available under the terms of the CC-BY-NC-ND licence (https://creativecommons.org/licenses/by-nc-nd/4.0/)
Keywords: Time series forecasting; Spurious long memory; Fractional integration; Local Whittle
Dates:
  • Published (online): 3 August 2015
  • Published: 1 October 2015
Institution: The University of Sheffield
Academic Units: The University of Sheffield > Faculty of Social Sciences (Sheffield) > Department of Economics (Sheffield)
Depositing User: Symplectic Sheffield
Date Deposited: 08 Apr 2019 09:31
Last Modified: 09 Apr 2019 17:18
Status: Published
Publisher: Elsevier
Refereed: Yes
Identification Number: https://doi.org/10.1016/j.ijforecast.2015.01.006

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