Rolling window selection for out-of-sample forecasting with time-varying parameters
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Publication:341889
DOI10.1016/J.JECONOM.2016.03.006zbMath1443.62470OpenAlexW1558793738MaRDI QIDQ341889
Lu Jin, Atsushi Inoue, 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
Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Nonparametric estimation (62G05) Economic time series analysis (91B84)
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