JavaScript is disabled for your browser. Some features of this site may not work without it.
Browsing ECO Working Papers by Subject "recursive estimation"
Now showing items 1-1 of 1
Title:Choice of Sample Split in Out-of-Sample Forecast Evaluation
Author(s):HANSEN, Peter Reinhard; TIMMERMANN, AllanDate:2012Type of Publication:Working PaperSeries/Report no.:EUI ECOAbstract:Out-of-sample tests of forecast performance depend on how a given data set is split into estimation and evaluation periods, yet no guidance exists on how to choose the split point. Empirical forecast evaluation results can ...