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Title:Choice of Sample Split in Out-of-Sample Forecast Evaluation Author(s):HANSEN, Peter Reinhard; TIMMERMANN, AllanDate:2012Type:Working PaperSeries/Number:EUI ECO; 2012/10Abstract: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 ...