Kim, Hyeongwoo; Durmaz, Nazif - In: International Journal of Forecasting 28 (2012) 3, pp. 575-586
We evaluate the usefulness of bias-correction methods for autoregressive (AR) models in enhancing the out-of-sample forecast accuracy. We employ two popular methods, proposed by Hansen (1999) and So and Shin (1999). Our Monte Carlo simulations show that these methods do not necessarily achieve...