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Evaluating forecast performance with state dependence

Odendahl, Florens; Rossi, Barbara; Sekhposyan, Tatevik - 2021

Persistent link: https://www.econbiz.de/10012805984

Evaluating forecast performance with state dependence

Odendahl, Florens; Rossi, Barbara; Sekhposyan, Tatevik - 2021 - Revised: October 2021

Persistent link: https://www.econbiz.de/10012872790

Evaluating forecast performance with state dependence

Odendahl, Florens; Rossi, Barbara; Sekhposyan, Tatevik - In: Journal of econometrics 237 (2023) 2,3, pp. 1-31

Persistent link: https://www.econbiz.de/10014471799

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

Rossi, Barbara; Inoue, Atsushi - Department of Economics and Business, Universitat … - 2012

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...

Persistent link: https://www.econbiz.de/10010849591

Out-of-Sample Forecast Tests Robust to Window Size Choice

Rossi, Barbara; Inoue, Atsushi - Duke University, Department of Economics - 2011

Persistent link: https://www.econbiz.de/10009148801

Forecast Comparisons in Unstable Environments

Giacomini, Raffaella; Rossi, Barbara - Duke University, Department of Economics - 2008

. Keywords: Predictive Ability Testing, Instability, Structural Change, Forecast Evaluation Acknowledgments: We thank Kirstin … commonly used for out-of-sample predictive ability testing could be used in (1), as long as its asymptotic distribution is …

Persistent link: https://www.econbiz.de/10005198735

Out-of-Sample Forecast Tests Robust to the Choice of Window Size

Inoue, Atsushi; Rossi, Barbara - C.E.P.R. Discussion Papers - 2011

Persistent link: https://www.econbiz.de/10009275962