Inoue, Atsushi; Rossi, Barbara - C.E.P.R. Discussion Papers - 2011
choice of the estimation window size. The methodologies involve evaluating the predictive ability of forecasting models over … a wide range of window sizes. We show that the tests proposed in the literature may lack the power to detect predictive … ability and might be subject to data snooping across different window sizes if used repeatedly. An empirical application shows …