This paper studies the properties of processes which exhibit both a stochastic and a deterministic trend via local-asymptotics and introduces the concept of a 'weak' trend: both trends have the same order of magnitude and hence asymptotically interact. Resulting parameter estimators and forecast...

We evaluate the asymptotic and finite-sample properties of direct multi-step estimation (DMS) for forecasting at several horizons. For forecast accuracy gains from DMS in finite samples, mis-specification and non-stationarity of the DGP are necessary, but when a model is well-specified,...

We build on two contributions that have found conditions for large dimensional networks or systems to generate long memory in their individual components, and provide a multivariate methodology for modeling and forecasting series displaying long range dependence. We model long memory properties...

Cette publication n'a pas de résumé

Cette publication n'a pas de résumé

Cette publication n'a pas de résumé

Cette publication n'a pas de résumé

Cette publication n'a pas de résumé

Cette publication n'a pas de résumé