Rolling window selection for out-of-sample forecasting with time-varying parameters
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- Inoue, Atsushi & Jin, Lu & Rossi, Barbara, 2017. "Rolling window selection for out-of-sample forecasting with time-varying parameters," Journal of Econometrics, Elsevier, vol. 196(1), pages 55-67.
- Atsushi Inoue & Lu Jin & Barbara Rossi, 2014. "Rolling Window Selection for Out-of-Sample Forecasting with Time-Varying Parameters," Working Papers 768, Barcelona School of Economics.
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More about this item
Keywords
Macroeconomic forecasting; parameter instability; nonparametric estimation; bandwidth selection.;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2014-10-03 (Econometrics)
- NEP-ETS-2014-10-03 (Econometric Time Series)
- NEP-FOR-2014-10-03 (Forecasting)
- NEP-MAC-2014-10-03 (Macroeconomics)
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