Robust model rankings of forecasting performance |
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Authors: | Prasad Sankar Bhattacharya Dimitrios D. Thomakos |
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Affiliation: | 1. Department of Economics, Deakin University, Victoria, Australia;2. Department of Economics, University of Peloponnese, Tripolis, Greece |
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Abstract: | This paper investigates robust model rankings in out‐of‐sample, short‐horizon forecasting. We provide strong evidence that rolling window averaging consistently produces robust model rankings while improving the forecasting performance of both individual models and model averaging. The rolling window averaging outperforms the (ex post) “optimal” window forecasts in more than 50% of the times across all rolling windows. |
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Keywords: | exchange rate forecasting inflation forecasting model averaging model ranking robustness rolling window |
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