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In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?

Inoue, Atsushi; Kilian, Lutz - In: Econometric Reviews 23 (2005) 4, pp. 371-402

It is widely known that significant in-sample evidence of predictability does not guarantee significant out-of-sample predictability. This is often interpreted as an indication that in-sample evidence is likely to be spurious and should be discounted. In this paper, we question this...

Persistent link: https://www.econbiz.de/10009279874

Bootstrapping Smooth Functions of Slope Parameters and Innovation Variances in VAR ((infinity)) Models

Inoue, Atsushi; Kilian, Lutz - In: International economic review 43 (2002) 2, pp. 309-332

Persistent link: https://www.econbiz.de/10006034678

In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?

Inoue, Atsushi; Kilian, Lutz - In: Econometric reviews 23 (2004) 4, pp. 371

Persistent link: https://www.econbiz.de/10006878526

On the selection of forecasting models

Inoue, Atsushi; Kilian, Lutz - In: Journal of econometrics 130 (2006) 2, pp. 273-306

Persistent link: https://www.econbiz.de/10006748297

Inference on impulse response functions in structural VAR models

Inoue, Atsushi; Kilian, Lutz - In: Journal of econometrics 177 (2013) 1, pp. 1-13

Persistent link: https://www.econbiz.de/10010171388

Frequentist inference in weakley identified dynamic stochastic general equilibrium models

Guerron-Quitana, Pablo; Inoue, Atsushi; Kilian, Lutz - In: Quantitative economics : QE ; journal of the … 4 (2013) 2, pp. 197-229

Persistent link: https://www.econbiz.de/10010185752

THE CONTINUITY OF THE LIMIT DISTRIBUTION IN THE PARAMETER OF INTEREST IS NOT ESSENTIAL FOR THE VALIDITY OF THE BOOTSTRAP

Inoue, Atsushi; Kilian, Lutz - In: Econometric theory 19 (2003) 6, pp. 944-961

Persistent link: https://www.econbiz.de/10006966506

How Useful Is Bagging in Forecasting Economic Time Series? A Case Study of U.S. Consumer Price Inflation

Inoue, Atsushi; Kilian, Lutz - In: Journal of the American Statistical Association : JASA 103 (2008) 482, pp. 511-522

Persistent link: https://www.econbiz.de/10008083855

NOTES AND COMMENTS: - Bootstrapping Autoregressive Processes with Possible Unit Roots

Inoue, Atsushi; Kilian, Lutz - In: Econometrica : journal of the Econometric Society, an … 70 (2002) 1, pp. 377-392

Persistent link: https://www.econbiz.de/10006769822

Do Actions Speak Louder Than Words? Household Expectations of Inflation Based on Micro Consumption Data

Inoue, Atsushi; Kilian, Lutz; Kiraz, Fatmaburcu - In: Journal of money, credit and banking : JMCB 41 (2009) 7, pp. 1331-1364

Persistent link: https://www.econbiz.de/10008310533