Jannik Kreye, Philipp Sibbertsen
arXiv 11 Sep 2024 · Econometrics
arXiv:2409.07087 · PDF · DOI · OpenAlex · Extracted main text
We propose a test to detect a forecast accuracy breakdown in a long memory time series and provide theoretical and simulation evidence on the memory transfer from the time series to the forecast residuals. The proposed method uses a double sup-Wald test against the alternative of a structural break in the mean of an out-of-sample loss series. To address the problem of estimating the long-run variance under long memory, a robust estimator is applied. The corresponding breakpoint results from a long memory robust CUSUM test. The finite sample size and power properties of the test are derived in a Monte Carlo simulation. A monotonic power function is obtained for the fixed forecasting scheme. In our practical application, we find that the global energy crisis that began in 2021 led to a forecast break in European electricity prices, while the results for the U.S. are mixed.
appendix boundary found by appendix_titled_section at “Appendix” · 86% of the source is main text. Read the extracted text to check this.
The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Perron, P. and Y. Yamamoto (2021) Testing for changes in forecasting performance | 0.950 | 7 | 4 | 86% |
| 2 | Giacomini, R. and B. Rossi (2009) Detecting and predicting forecast breakdowns | 0.811 | 4 | 2 | 100% |
| 3 | Kruse, R., C. Leschinski, and M. Will (2018) Comparing predictive accuracy under long memory, with an application to volatility forecasting | 0.644 | 2 | 2 | 100% |
| 4 | Bai, J. and P. Perron (1998) Estimating and testing linear models with multiple structural changes | 0.644 | 2 | 2 | 100% |
| 5 | Robinson, P. M (1995) Gaussian semiparametric estimation of long range dependence | 0.644 | 2 | 2 | 100% |
| 6 | Chambers, M. J (1998) Long memory and aggregation in macroeconomic time series | 0.511 | 3 | 2 | 33% |
| 7 | Leschinski, C (2017) On the memory of products of long range dependent time series | 0.511 | 3 | 2 | 33% |
| 8 | Abadir, K. M., W. Distaso, and L. Giraitis (2009) Two estimators of the long-run variance: beyond short memory | 0.511 | 2 | 1 | 100% |
| 9 | Andrews, D. W (1991) Heteroskedasticity and autocorrelation consistent covariance matrix estimation | 0.405 | 1 | 1 | 100% |
| 10 | Christoffersen, P. F. and F. X. Diebold (1997) Optimal prediction under asymmetric loss | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 22 scored citations.