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

zbMATH Keywords

nonparametric estimationbandwidth selectionparameter instabilitymacroeconomic forecasting

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Economic time series analysis (91B84)

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Cites Work

• scientific article; zbMATH DE number 991833 (Why is no real title available?)
• Adaptive forecasting in the presence of recent and ongoing structural change
• An asymptotically efficient solution to the bandwidth problem of kernel density estimation
• Asymptotic Inference about Predictive Ability
• Can exchange rates forecast commodity prices?
• Detecting and Predicting Forecast Breakdowns
• Estimating and Testing Linear Models with Multiple Structural Changes
• Forecast combination across estimation windows
• Forecasting in dynamic factor models using Bayesian model averaging
• Local linear fitting under near epoch dependence
• Optimal bandwidth selection in nonparametric regression function estimation
• Optimal forecasts in the presence of structural breaks
• Predicting the equity premium with dividend ratios
• Random approximations to some measures of accuracy in nonparametric curve estimation
• Selection of estimation window in the presence of breaks
• Testing for smooth structural changes in time series models via nonparametric regression
• Testing for the Constancy of Parameters Over Time
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Tests of equal forecast accuracy and encompassing for nested models
• Trending time-varying coefficient time series models with serially correlated errors

Cited In (16)

• 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
• Selection of an estimation window in the presence of data revisions and recent structural breaks
• 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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