Working Paper No. 11-31 Out-of-sample Forecast Tests Robust to the Choice of Window Size
نویسندگان
چکیده
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 snooping across di¤erent window sizes if used repeatedly. An empirical application shows the usefulness of the methodologies for evaluating exchange rate modelsforecasting ability.
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Out-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...
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