Out-of-Sample Forecast Tests Robust to the Choice of Window Size
نویسندگان
چکیده
منابع مشابه
Out-of-Sample Forecast Tests Robust to the Choice of Window Size
This paper proposes new methodologies for evaluating out-of-sample forecasting performance that are robust to the choice of the estimation window size. The methodologies involve evaluating the predictive ability of forecasting models over a wide range of window sizes. We show that the tests proposed in the literature may lack the power to detect predictive ability and might be subject to data s...
متن کاملOut-of-Sample Forecast Tests Robust to the Window Size Choice
This paper proposes new methodologies for evaluating out-of-sample forecasting performance that are robust to the choice of the estimation window size. The methodologies involve evaluating the predictive ability of forecasting models over a wide range of window sizes. We show that the tests proposed in the literature may lack power to detect predictive ability, and might be subject to data snoo...
متن کاملWorking Paper No. 11-31 Out-of-sample Forecast Tests Robust to the Choice of Window Size
This paper proposes new methodologies for evaluating out-of-sample forecasting performance that are robust to the choice of the estimation window size. The methodologies involve evaluating the predictive ability of forecasting models over a wide range of window sizes. We show that the tests proposed in the literature may lack the power to detect predictive ability and might be subject to data s...
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15 صفحه اولChoice of Sample Split in Out-of-Sample Forecast Evaluation∗
Out-of-sample tests of forecast performance depend on how a given data set is split into estimation and evaluation periods, yet no guidance exists on how to choose the split point. Empirical forecast evaluation results can therefore be difficult to interpret, particularly when several values of the split point might have been considered. When the sample split is viewed as a choice variable, rat...
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ژورنال
عنوان ژورنال: Journal of Business & Economic Statistics
سال: 2012
ISSN: 0735-0015,1537-2707
DOI: 10.1080/07350015.2012.693850