Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7360921 | Journal of Empirical Finance | 2014 | 15 Pages |
Abstract
The paper addresses the issue of choice of bandwidth in the application of semiparametric estimation of the long memory parameter in a univariate time series process. The focus is on the properties of forecasts from the long memory model. A variety of cross-validation methods based on out of sample forecasting properties are proposed. These procedures are used for the choice of bandwidth and subsequent model selection. Simulation evidence is presented that demonstrates the advantage of the proposed new methodology.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Richard T. Baillie, George Kapetanios, Fotis Papailias,