Rolling window selection for out-of-sample forecasting with time-varying parameters

DOI10.1016/J.JECONOM.2016.03.006zbMATH Open1443.62470OpenAlexW1558793738MaRDI QIDQ341889FDOQ341889

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

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)

Cites Work

• Title not available (Why is that?)
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• 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
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• 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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