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

DOI10.1081/ETC-200040785zbMath1062.62213OpenAlexW3125152691MaRDI QIDQ4678789

Lutz Kilian, Atsushi Inoue

Publication date: 23 May 2005

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/etc-200040785

zbMATH Keywords

data miningspurious inferencepredictive abilitymodel instability

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03)

Related Items (29)

Nonlinearity, nonstationarity, and spurious forecasts ⋮ Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis ⋮ Predicting the equity market risk premium: a model selection approach ⋮ Testing for Predictability in Financial Returns Using Statistical Learning Procedures ⋮ Nonparametric long term prediction of stock returns with generated bond yields ⋮ The effects of oil price shocks on job reallocation ⋮ A Goodness-of-fit Test for Copulas ⋮ Forecasting US stock market returns: a Japanese candlestick approach ⋮ Are bond returns predictable with real-time macro data? ⋮ Asymptotic inference about predictive accuracy using high frequency data ⋮ Asymptotics for out of sample tests of Granger causality ⋮ A predictability test for a small number of nested models ⋮ Is forecasting with large models informative? Assessing the role of judgement in macroeconomic forecasts ⋮ ON THE SOURCES OF UNCERTAINTY IN EXCHANGE RATE PREDICTABILITY ⋮ Evaluating Direct Multistep Forecasts ⋮ Tests of equal accuracy for nested models with estimated factors ⋮ Stock and bond return predictability: the discrimination power of model selection criteria ⋮ In-sample tests of predictive ability: a new approach ⋮ Short-horizon return predictability and oil prices ⋮ 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 ⋮ Robust stochastic sorting with interacting criteria hierarchically structured ⋮ On the use of area-wide models in the euro-zone ⋮ Multivariate out-of-sample tests for Granger causality ⋮ Forecasting stock market volatility: a combination approach ⋮ A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities ⋮ Nested forecast model comparisons: a new approach to testing equal accuracy ⋮ Conditional rotation between forecasting models ⋮ The power of tests of predictive ability in the presence of structural breaks

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• Asymptotic Inference about Predictive Ability
• Tests of equal forecast accuracy and encompassing for nested models
• Dangers of data mining: The case of calendar effects in stock returns
• Predictive ability with cointegrated variables

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