In/Out Sample Forecast

EUROPEAN CENTRAL BANK WO R K I N G PA P E R S E R I E S running(a) PAPER NO. 195 IN-SAMPLE OR OUT-OF-SAMPLE TESTS OF PREDICTABILITY: WHICH ONE SHOULD WE delectation? BY ATSUSHI INOUE AND LUTZ KILIAN November 2002 EUROPEAN CENTRAL BANK WO R K I N G PA P E R S E R I E S WORKING PAPER NO. 195 IN-SAMPLE OR OUT-OF-SAMPLE TESTS OF PREDICTABILITY: WHICH ONE SHOULD WE USE?1 BY ATSUSHI INOUE2 AND LUTZ KILIAN3 November 2002 1 We thank seminar participants at Bonn, CORE, the European of import Bank, the 2002 European Econometric Society Meeting, Exeter, Leuven, Montreal, the 2002 NBER Summer Institute, Pittsburgh, Pompeu Fabra, Southampton,Tokyo Metropolitan,Tokyo,Warwick,Waseda, Yokohama National,York, and particularly Valentina Corradi,Todd Clark, forthright Diebold, Robert Engle, Scott Gilbert, Clive Granger, Alastair Hal, Kirstin Hubrich, Micheal McCracken, Peter Reinhard Hasen, Barbara Rossi, Norman Swanson, and Ken West for implemental discussions.The op inions explicit herein are those of the authors and do not inescapably personify those of the European Central Bank. 2 Department of rural and election Economics, Box 8109, North Carolina State University, Raleigh, NC 27695-8109. e-mail: atsushi_inoue@ncsu.edu. 3 European Central Bank, DG Research, Kaiserstraße 29, D-60311 Frankfurt a.M., Germany.

Email: lkilian@umich.edu. © European Central Bank, 2002 Address Kaiserstrasse 29 D-60311 Frankfurt am of import Germany Postfach 16 03 19 D-60066 Frankfurt am primary(prenominal) Germany +49 69 1344 0 http://www.ecb.int +49 69 1344 6000 411 tax ecb d Posta l address Telephone Internet facsimile ma! chine Telex All rights reserved. rearing for educational and non-commercial purposes is permitted provided that the source is acknowledged. The views expressed in this paper do not necessarily meditate those of the European Central Bank. ISSN 1561-0810 Contents raise Non-technical summary 1 2 3 Introduction What?s wrong with in-sample tests of predictability? compendium under standard...If you want to get a full essay, nine it on our website: OrderCustomPaper.com

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