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A Note on the Finite Sample Bias in Time Series Cross-Validation

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Abstract

It is well known that model selection via cross validation can be biased for time series models. However, many researchers have argued that this bias does not apply when using cross-validation with vector autoregressions (VAR) or with time series models whose errors follow a martingale-like structure. I show that even under these circumstances, performing cross-validation on time series data will still generate bias in general.

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  • Amaze Lusompa, 2025. "A Note on the Finite Sample Bias in Time Series Cross-Validation," Research Working Paper RWP 25-17, Federal Reserve Bank of Kansas City, revised 08 Dec 2025.
    • Handle: RePEc:fip:fedkrw:102151
    DOI: 10.1016/j.csda.2017.11.003
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    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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