Maier, Margaret R.; Meade, Nigel - In: Journal of Forecasting 22 (2003) 8, pp. 553-568
The issues of non-stationarity and long memory of real interest rates are examined here. Autoregressive models allowing short-term mean reversion are compared with fractional integration models in terms of their ability to explain the behaviour of the data and to forecast out-of-sample. The data...