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Distinguishing between long-range dependence and deterministic trends

Sibbertsen, Philipp; Venetis, Ioannis - 2003

We provide a method for distinguishing long-range dependence from deterministic trends such as structural breaks. The method is based on the comparison of standard log-periodogram regression estimation of the memory parameter with its tapered counterpart. The difference of these estimators...

Persistent link: https://www.econbiz.de/10010509839

A note on multi-step forecasting with functional coefficient autoregressive models

Harvill, Jane L.; Ray, Bonnie K. - In: International journal of forecasting 21 (2005) 4, pp. 717-727

Persistent link: https://www.econbiz.de/10003150697

A mild skepticism on nonlinear forecasting : some comments on the paper by Harvill and Ray

Crato, Nuno - In: International journal of forecasting 21 (2005) 4, pp. 729-730

Persistent link: https://www.econbiz.de/10003150698

Evaluating predictive densities of US output growth and inflation in a large macroeconomic data set

Rossi, Barbara; Sekhposyan, Tatevik - In: International journal of forecasting 30 (2014) 3, pp. 662-682

Persistent link: https://www.econbiz.de/10010514762

Forecasting using a periodic transfer function : with an application to the UK price of ferrous scrap

Albertson, Kevin; Aylen, Jonathan - In: International journal of forecasting 15 (1999) 4, pp. 409-419

Persistent link: https://www.econbiz.de/10001428535

Detection of change in persistence of a linear time series

Kim, Chae-yŏng - In: Journal of econometrics 95 (2000) 1, pp. 97-116

Persistent link: https://www.econbiz.de/10001432520

New dogs and old tricks : do money and interest rates still provide information content for forecasts of output and prices?

Black, David C.; Corrigan, Paul R.; Dowd, Michael Robert - In: International journal of forecasting 16 (2000) 2, pp. 191-205

Persistent link: https://www.econbiz.de/10001476888

Analysis of spatial contiguity influences on state price level formation

Dowd, Michael Robert - In: International journal of forecasting 13 (1997) 2, pp. 245-253

Persistent link: https://www.econbiz.de/10001230127

Business cycle durations

Filardo, Andrew J. - In: Journal of econometrics 85 (1998) 1, pp. 99-123

Persistent link: https://www.econbiz.de/10001240380

Forecasting economic time series using flexible versus fixed specification and linear versus nonlinear econometric models

Swanson, Norman R. - In: International journal of forecasting 13 (1997) 4, pp. 439-461

Persistent link: https://www.econbiz.de/10001240454

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