Out-of-Sample Forecast Tests Robust to the Choice of Window Size
提出对估计窗口大小选择稳健的新方法，用于评估经济模型的样本外预测表现，避免现有检验因窗口选择导致的功效不足和数据窥探问题，并应用于汇率模型预测能力评估。
This article proposes new methodologies for evaluating economic models’ out-of-sample forecasting performance that are robust to the choice of the estimation window size. The methodologies involve evaluating the predictive ability of forecasting models over a wide range of window sizes. The study shows 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 the usefulness of the methodologies for evaluating exchange rate models’ forecasting ability.