UNSPECIFIED (1994) FORECASTING COSTS INCURRED FROM UNIT DIFFERENCING FRACTIONALLY INTEGRATED PROCESSES. INTERNATIONAL JOURNAL OF FORECASTING, 10 (4). pp. 507-514. ISSN 0169-2070

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Abstract

This paper investigates the cost of the assuming a unit difference when the series is only fractionally integrated with an integration parameter d not-equal 1. Studies have pointed to the low power of unit root tests against a fractionally integrated alternative, and have noted the performance of these tests is worse than against nearly integrated stationary ARMA models, due to the extra persistence associated with fractional models. We look at the gains, in terms of forecasting performance, of fitting a correctly specified ARFIMA model against a mis-specified ARIMA model and ask the question as to whether the forecasting gain offsets the computational costs of estimating the correct ARFIMA model.

Item Type:	Journal Article
Subjects:	H Social Sciences > HC Economic History and Conditions H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
Journal or Publication Title:	INTERNATIONAL JOURNAL OF FORECASTING
Publisher:	ELSEVIER SCIENCE BV
ISSN:	0169-2070
Date:	December 1994
Volume:	10
Number:	4
Number of Pages:	8
Page Range:	pp. 507-514
Publication Status:	Published
URI:	http://wrap.warwick.ac.uk/id/eprint/19977

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