Penm, J.

model series break forecast method memory flation rates / research parameter 1.001 forecasting period table number flation estimation estimate hyung long-memory breaks model research 0.999 finance sample time series 95–110 business result ar model observation 0.996 perron analysis value in-sample period out-of-sample error frequency domain mle 1.000 paper sequential short-sample period estimate breaks forecast errors out-of-sample forecasting in-sample · · · regression example autocorrelation qt η t autoregressive 1.003 decay memory parameter 0.976 persistence performance 288 observations feature ar models 0.929 autoregressive models horizon component econometrics 0.994 forecast horizon beran full-sample process 0.958 rmsfe 0.930 short-sample 0.997 1.004 correlation commodity time series models