latent signal that is specified as a dynamic stochastic process with fixed predictors. The out-of-sample predictive ability … of the models is compared between each other by using a variety of loss functions and predictive ability tests. We find …

latent signal that is specified as a dynamic stochastic process with fixed predictors. The out-of-sample predictive ability … of the models is compared between each other by using a variety of loss functions and predictive ability tests. We find …

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 …

. Furthermore, possible data snooping bias is investigated by employing Hansen’s (2005) Superior Predictive Ability tests. Findings …