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

Recommendations

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Cites work

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scientific article; zbMATH DE number 777603 (Why is no real title available?)
A Reality Check for Data Snooping
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A consistent test for nonlinear out of sample predictive accuracy.
Advertising and Aggregate Consumption: An Analysis of Causality
Asymptotic Inference about Predictive Ability
Dangers of data mining: The case of calendar effects in stock returns
Multiple Comparisons of Polynomial Distributions
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Cited in

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The power of tests of predictive ability in the presence of structural breaks
In-sample tests of predictive ability: a new approach
Out-of-sample stock return prediction using higher-order moments
Does a lot help a lot? Forecasting stock returns with pooling strategies in a data-rich environment
A bootstrap approach for generalized autocontour testing implications for VIX forecast densities
Asymptotic inference about predictive accuracy using high frequency data
A goodness-of-fit test for copulas
Tests of equal accuracy for nested models with estimated factors
Nonlinearity, nonstationarity, and spurious forecasts
Evaluating Direct Multistep Forecasts
Robust stochastic sorting with interacting criteria hierarchically structured
Forecasting the equity premium: can machine learning beat the historical average?
On the use of area-wide models in the euro-zone
Short-horizon return predictability and oil prices
Predicting the equity market risk premium: a model selection approach
The effects of oil price shocks on job reallocation
Inference about predictive ability
On the sources of uncertainty in exchange rate predictability
Tests of Equal Forecasting Accuracy for Nested Models with Estimated CCE Factors*
Conditional rotation between forecasting models
Forecasting US stock market returns: a Japanese candlestick approach
Testing for Predictability in Financial Returns Using Statistical Learning Procedures
Nonparametric long term prediction of stock returns with generated bond yields
Nested forecast model comparisons: a new approach to testing equal accuracy
A predictability test for a small number of nested models
Are bond returns predictable with real-time macro data?
Is forecasting with large models informative? Assessing the role of judgement in macroeconomic forecasts
Forecasting stock market volatility: a combination approach
Stock and bond return predictability: the discrimination power of model selection criteria
Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis
Asymptotics for out of sample tests of Granger causality
Regime-specific exchange rate predictability
Multivariate out-of-sample tests for Granger causality

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