Baillie, Richard T.; Kongcharoen, Chaleampong; … - In: International Journal of Forecasting 28 (2012) 1, pp. 46-53
This paper considers the effects on multi-step prediction of using semiparametric local Whittle estimators rather than MLE for long memory ARFIMA models. We consider various representations of the minimum MSE predictor with known parameters. We then conduct a detailed simulation study for when...