Rolling window selection for out-of-sample forecasting with time-varying parameters
DOI10.1016/J.JECONOM.2016.03.006zbMATH Open1443.62470OpenAlexW1558793738MaRDI QIDQ341889FDOQ341889
Authors: Atsushi Inoue, Lu Jin, Barbara Rossi 
Publication date: 17 November 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10230/22664
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Nonparametric estimation (62G05) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Economic time series analysis (91B84)
Cites Work
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- Estimating and Testing Linear Models with Multiple Structural Changes
- Asymptotic Inference about Predictive Ability
- Adaptive forecasting in the presence of recent and ongoing structural change
- Detecting and Predicting Forecast Breakdowns
- Testing for the Constancy of Parameters Over Time
- Forecast combination across estimation windows
- Random approximations to some measures of accuracy in nonparametric curve estimation
- Testing for smooth structural changes in time series models via nonparametric regression
- Tests of equal forecast accuracy and encompassing for nested models
- Optimal bandwidth selection in nonparametric regression function estimation
- Trending time-varying coefficient time series models with serially correlated errors
- Selection of estimation window in the presence of breaks
- Predicting the equity premium with dividend ratios
- Can exchange rates forecast commodity prices?
- An asymptotically efficient solution to the bandwidth problem of kernel density estimation
- Optimal forecasts in the presence of structural breaks
- Forecasting in dynamic factor models using Bayesian model averaging
- LOCAL LINEAR FITTING UNDER NEAR EPOCH DEPENDENCE
Cited In (15)
- Forecasting crude oil prices: do technical indicators need economic constraints?
- Better the devil you know: improved forecasts from imperfect models
- Analyzing cross-validation for forecasting with structural instability
- Relative measures of forecasting: lambda-family-measures
- Sieve bootstrap inference for linear time-varying coefficient models
- Boosting high dimensional predictive regressions with time varying parameters
- The macroeconomic and fiscal implications of inflation forecast errors
- Time-varying forecast combination for factor-augmented regressions with smooth structural changes
- Penalized time-varying model averaging
- Short-run price forecast performance of individual and composite models for 496 corn cash markets
- A time-varying diffusion index forecasting model
- Shrinkage estimation and forecasting in dynamic regression models under structural instability
- Does modeling a structural break improve forecast accuracy?
- Variable selection in high dimensional linear regressions with parameter instability
- Forecasting with GARCH models under structural breaks: An approach based on combinations across estimation windows
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