Choice of Sample Split in Out-of-Sample Forecast Evaluation
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- Peter Reinhard Hansen & Allan Timmermann, 2012. "Choice of Sample Split in Out-of-Sample Forecast Evaluation," CREATES Research Papers 2012-43, Department of Economics and Business Economics, Aarhus University.
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More about this item
Keywords
C12; C53;JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2012-04-10 (Econometrics)
- NEP-ETS-2012-04-10 (Econometric Time Series)
- NEP-FOR-2012-04-10 (Forecasting)
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