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On the effects of imposing or ignoring long memory when forecasting

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Persistent link: https://www.econbiz.de/10000981126

A nonlinear time series model of El Niño

Hall, Anthony D.; Skalin, Joakim; Teräsvirta, Timo - 1998

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How costly is it to ignore breaks when forecasting the direction of a time series?

Pesaran, M. Hashem (contributor); … - 2003 - [Elektronische Ressource]

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Forecasting with VARMA models

Lütkepohl, Helmut (contributor) - 2004 - [Elektronische Ressource]

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Forecasting time series subject to multiple structural breaks

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Persistent link: https://www.econbiz.de/10002153301

Use and misuse of unobserved components in economic forecasting

Maravall Herrero, Agustín - 1993

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A Monte Carlo analysis of technical inefficiency predictors

Kumbhakar, Subal; Löthgren, Mickael - 1998

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New test statistics for market timing with applications to emerging markets

Sancetta, A. (contributor); Satchell, Stephen (contributor) - 2002 - [Elektronische Ressource]

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Solution of macromodels with Hansen-Sargent robust policies : summary and some extensions

Giordani, Paolo (contributor); Söderlind, Paul (contributor) - 2002 - [Elektronische Ressource], Rev. May 15, 2003

We summarize some methods useful in formulating and solving Hansen-Sargent robust control problems, and suggest extensions to discretion and simple rules. Matlab, Octave, and Gauss software is provided. We illustrate these extensions with applications to the term structure of interest rates, the...

Persistent link: https://www.econbiz.de/10001664234