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

Inoue, Atsushi; Lu, Jin; Rossi, Barbara - In: Journal of econometrics 196 (2017) 1, pp. 55-67

Persistent link: https://www.econbiz.de/10011743498

Model comparisons in unstable environments

Giacomini, Raffaella; Rossi, Barbara - 2012

The goal of this paper is to develop formal tests to evaluate the relative in-sample performance of two competing, misspecified non-nested models in the presence of possible data instability. Compared to previous approaches to model selection, which are based on measures of global performance,...

Persistent link: https://www.econbiz.de/10009554364

Conditional predictive density evaluation in the presence of instabilities

Rossi, Barbara; Sekhposyan, Tatevik - In: Journal of econometrics 177 (2013) 2, pp. 199-212

Persistent link: https://www.econbiz.de/10010254876

Understanding models' forecasting performance

Rossi, Barbara; Sekhposyan, Tatevik - In: Journal of econometrics 164 (2011) 1, pp. 158-172

Persistent link: https://www.econbiz.de/10009270391

Alternative tests for correct specification of conditional predictive densities

Rossi, Barbara; Sekhposyan, Tatevik - In: Journal of econometrics 208 (2019) 2, pp. 638-657

Persistent link: https://www.econbiz.de/10012149374

Evaluating forecast performance with state dependence

Odendahl, Florens; Rossi, Barbara; Sekhposyan, Tatevik - In: Journal of econometrics 237 (2023) 2,3, pp. 1-31

Persistent link: https://www.econbiz.de/10014471799