Forecasting costs incurred from unit differencing fractionally integrated processes
Smith, Jeremy (Jeremy P.) and Yadav, S.. (1994) Forecasting costs incurred from unit differencing fractionally integrated processes. International Journal of Forecasting, Volume 10 (Number 4). pp. 507-514. ISSN 0169-2070Full text not available from this repository.
Official URL: http://dx.doi.org/
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
|Divisions:||Faculty of Social Sciences > Economics|
|Journal or Publication Title:||International Journal of Forecasting|
|Number of Pages:||8|
|Page Range:||pp. 507-514|
|Access rights to Published version:||Restricted or Subscription Access|
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