Inoue, Atsushi; Jin, Lu; Rossi, Barbara - C.E.P.R. Discussion Papers - 2014
While forecasting is a common practice in academia, government and business alike, practitioners are often left … wondering how to choose the sample for estimating forecasting models. When we forecast inflation in 2014, for example, should we … time series, and the forecasting performance is often quite sensitive to the choice of such window size. In this paper, we …