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Rolling window selection for out-of-sample forecasting with time-varying parameters · Study

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ArticleRolling window selection for out-of-sample forecasting with time-varying parameters

Atsushi Inoue2016

OA

Articlegreen2016

Rolling window selection for out-of-sample forecasting with time-varying parameters

Atsushi Inoue · Lu Jin · Barbara Rossi

290 citations·0/0 files stored·Journal of Econometrics

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Forecasting Techniques and Applications Monetary Policy and Economic Impact Statistical Methods and Inference

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References

1993Tests for Parameter Instability and Structural Change With Unknown Change Point 1983Empirical exchange rate models of the seventies 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction 2007Why Has U.S. Inflation Become Harder to Forecast?1996Asymptotic Inference about Predictive Ability 1999Forecasting inflation 2001Tests of equal forecast accuracy and encompassing for nested models 2003Forecasting Output and Inflation: The Role of Asset Prices

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Details

Year2016

Typearticle

Published2016-10-10

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations290

Files0 public / 0

ShelfForecasting Techniques and Applications

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doi10.1016/j.jeconom.2016.03.006

openalex_workW1558793738

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