Optimal Forecasts in the Presence of Discrete Structural Breaks Under Long Memory
Download or Read eBook Optimal Forecasts in the Presence of Discrete Structural Breaks Under Long Memory PDF written by Mwasi Paza Mboya and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle.
Author | : Mwasi Paza Mboya |
Publisher | : |
Total Pages | : 0 |
Release | : 2022 |
ISBN-10 | : OCLC:1374851268 |
ISBN-13 | : |
Rating | : 4/5 (68 Downloads) |
Book Synopsis Optimal Forecasts in the Presence of Discrete Structural Breaks Under Long Memory by : Mwasi Paza Mboya
Book excerpt: We develop methods to obtain optimal forecast under long memory in the presence of a discrete structural break based on different weighting schemes for the observations. We observe significant changes in the forecasts when long-range dependence is taken into account. Using Monte Carlo simulations, we confirm that our methods substantially improve the forecasting performance under long memory. We further present an empirical application to in inflation rates that emphasizes the importance of our methods.