Paper #1404

Títol:

Out-of-sample forecast tests robust to the choice of window size

Autors:

Barbara Rossi i Atsushi Inoue

Data:

Abril 2012

Resum:

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.

Paraules clau:

Predictive Ability Testing, Forecast Evaluation, Estimation Window.

Codis JEL:

C22, C52, C53

Àrea de Recerca:

Macroeconomia i Economia Internacional / Estadística, Econometria i Mètodes Quantitatius

Publicat a:

Journal of Business and Economic Statistics, 30 (3), 432-453, 2012

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