Rossi, Barbara; Inoue, Atsushi - Department of Economics and Business, Universitat … - 2012
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 …