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

Barbara Rossi and Atsushi Inoue

Journal of Business & Economic Statistics, 2012, vol. 30, issue 3, 432-453

Abstract: This article proposes new methodologies for evaluating economic models’ 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. The study shows 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 the usefulness of the methodologies for evaluating exchange rate models’ forecasting ability.

Date: 2012
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Related works:
Working Paper: Out-of-sample forecast tests robust to the choice of window size (2012)
Working Paper: Out-of-Sample Forecast Tests Robust to the Choice of Window Size (2011)
Working Paper: Out-of-sample forecast tests robust to the choice of window size (2011)
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DOI: 10.1080/07350015.2012.693850

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