| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8542 |
| DP8542 Out-of-Sample Forecast Tests Robust to the Choice of Window Size | |
| Barbara Rossi; Atsushi Inoue | |
| 发表日期 | 2011-08-19 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | 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 different window sizes if used repeatedly. An empirical application shows the usefulness of the methodologies for evaluating exchange rate models' forecasting ability. |
| 主题 | International Macroeconomics |
| 关键词 | Predictive ability testing Forecast evaluation Estimation window |
| URL | https://cepr.org/publications/dp8542 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537386 |
| 推荐引用方式 GB/T 7714 | Barbara Rossi,Atsushi Inoue. DP8542 Out-of-Sample Forecast Tests Robust to the Choice of Window Size. 2011. |
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