On Long Memory Origins and Forecast Horizons
Published in Journal of Forecasting, 2020
Recommended citation: Vera-Valdés, J.E. (2020). "On Long Memory Origins and Forecast Horizons." Econometrics. 39(5). https://vbn.aau.dk/da/publications/on-long-memory-origins-and-forecast-horizons-2
Top Cited Article
This paper shows that the fractional difference operator obtains good forecasting performance when working with long memory generated by non-fractional methods.