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

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Cites work

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Cited in

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

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