Some simulations and applications of forecasting long-memory time-series models

In this paper, we show some results of forecasting based on the ARFIMA(p,d,q) and ARIMA(p,d,q) models. We show, by simulation, that the technique of forecasting of the ARIMA(p,d,q) model can also be used when d is fractional, i.e., for the ARFIMA(p,d,q) model. We also conduct a simulation study to compare the two estimators of d obtained through regression methods. They are used in the hypothesis test to decide whether or not the series has long memory property and are compared on the basis of their k-step ahead forecast errors. The properties of long-memory models are also investigated using an actual set of data. (C) 1999 Elsevier Science B.V. All rights reserved.