Rolling window selection for out-of-sample forecasting with time-varying parameters

There is strong evidence of structural changes in macroeconomic time series, and the forecasting performance is often sensitive to the choice of estimation window size. This paper develops a method for selecting the window size for forecasting. Our proposed method is to choose the optimal size that...

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Veröffentlicht in:	Journal of econometrics 2017-01, Vol.196 (1), p.55-67
Hauptverfasser:	Inoue, Atsushi, Jin, Lu, Rossi, Barbara
Format:	Artikel
Sprache:	eng
Schlagworte:	Bandwidth selection Forecasting techniques Inflation Macroeconomic forecasting Monte Carlo simulation Nonparametric estimation Output Parameter instability Studies United States
Online-Zugang:	Volltext
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