Browsing ECO Working Papers by Subject "recursive estimation"

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Browsing ECO Working Papers by Subject "recursive estimation"

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    Title: Choice of Sample Split in Out-of-Sample Forecast Evaluation  Author(s): HANSEN, Peter Reinhard; TIMMERMANN, Allan Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: 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 ...