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In-sample or out-of-sample tests of predictability : which one should we use?

Inoue, Atsushi; Kilian, Lutz - 2002

Persistent link: https://www.econbiz.de/10001714862

In-sample or out-of-sample tests of predictability : which one should we use?

Inoue, Atsushi; Kilian, Lutz - In: Econometric reviews 23 (2004) 4, pp. 371-402

Persistent link: https://www.econbiz.de/10002514260

Inference on impulse response functions in structural VAR models

Inoue, Atsushi; Kilian, Lutz - In: Journal of econometrics 177 (2013) 1, pp. 1-13

Persistent link: https://www.econbiz.de/10010189887

How useful is bagging in forecasting economic time series? : a case study of U. S. consumer price inflation

Inoue, Atsushi; Kilian, Lutz - In: Journal of the American Statistical Association : JASA 103 (2008) 482, pp. 511-522

Persistent link: https://www.econbiz.de/10003751789

In-Sample or Out-of-Sample Tests of Predictability : Which One Should We Use?

Inoue, Atsushi; Kilian, Lutz - 2021

It is widely known that significant in-sample evidence of predictability does not guarantee significant out-of-sample predictability. This is often interpreted as an indication that in-sample evidence is likely to be spurious and should be discounted. In this paper we question this conventional...

Persistent link: https://www.econbiz.de/10013320165