Add to ORKGThis paper proposes new methodologies for evaluating out-of-sample forecasting performance that are robust to the choice of the estimation window size. The method-ologies 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 di¤erent window sizes if used repeatedly. An empirical application shows the usefulness of the methodologies for evaluating exchange rate modelsforecasting ability
Out-of-sample forecasting tests of DSGE models against time-series benchmarks such as an unrestricte...
While many explanations have been put forward for the failure of exchange rate models to outperform ...
This chapter provides a comprehensive review of the statistical and economic methods used for evalua...
This paper proposes new methodologies for evaluating out-of-sample forecasting performance that are...
Abstract: While forecasting is a common practice in academia, government and business alike, practit...
Recent evidence suggests that many economic time series are subject to structural breaks. In the pre...
While forecasting is a common practice in academia, government and business alike, practitioners ar...
Out-of-sample tests of forecast performance depend on how a given data set is split into estimation ...
Statistical model selection criteria provide an informed choice of the model with best external (i.e...
Statistical model selection criteria provide an informed choice of the model with best external (i.e...
While forecasting is a common practice in academia, government and business alike, practitioners are...
A common explanation for the inability of the monetary model to beat the random walk in forecasting ...
We propose a new methodology to identify the sources of models' forecasting performance. The methodo...
We introduce a set of test statistics for assessing the presence of regimes in out of sample forecas...
We argue that the current framework for predictive ability testing (e.g., West, 1996) is not necessa...
Out-of-sample forecasting tests of DSGE models against time-series benchmarks such as an unrestricte...
While many explanations have been put forward for the failure of exchange rate models to outperform ...
This chapter provides a comprehensive review of the statistical and economic methods used for evalua...
This paper proposes new methodologies for evaluating out-of-sample forecasting performance that are...
Abstract: While forecasting is a common practice in academia, government and business alike, practit...
Recent evidence suggests that many economic time series are subject to structural breaks. In the pre...
While forecasting is a common practice in academia, government and business alike, practitioners ar...
Out-of-sample tests of forecast performance depend on how a given data set is split into estimation ...
Statistical model selection criteria provide an informed choice of the model with best external (i.e...
Statistical model selection criteria provide an informed choice of the model with best external (i.e...
While forecasting is a common practice in academia, government and business alike, practitioners are...
A common explanation for the inability of the monetary model to beat the random walk in forecasting ...
We propose a new methodology to identify the sources of models' forecasting performance. The methodo...
We introduce a set of test statistics for assessing the presence of regimes in out of sample forecas...
We argue that the current framework for predictive ability testing (e.g., West, 1996) is not necessa...
Out-of-sample forecasting tests of DSGE models against time-series benchmarks such as an unrestricte...
While many explanations have been put forward for the failure of exchange rate models to outperform ...
This chapter provides a comprehensive review of the statistical and economic methods used for evalua...