Robust model rankings of forecasting performance

Prasad Bhattacharya and Dimitrios Thomakos

Journal of Forecasting, 2018, vol. 37, issue 6, 676-690

Abstract: This paper investigates robust model rankings in out‐of‐sample, short‐horizon forecasting. We provide strong evidence that rolling window averaging consistently produces robust model rankings while improving the forecasting performance of both individual models and model averaging. The rolling window averaging outperforms the (ex post) “optimal” window forecasts in more than 50% of the times across all rolling windows.

Date: 2018
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://doi.org/10.1002/for.2529

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:jforec:v:37:y:2018:i:6:p:676-690

Access Statistics for this article

Journal of Forecasting is currently edited by Derek W. Bunn

More articles in Journal of Forecasting from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().