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In-sample or out-of-sample tests of predictability: which one should we use?

Citations

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Cited by:

  1. Imad Moosa, 2013. "Why is it so difficult to outperform the random walk in exchange rate forecasting?," Applied Economics, Taylor & Francis Journals, vol. 45(23), pages 3340-3346, August.
  2. Monteforte, Libero, 2007. "Aggregation bias in macro models: Does it matter for the euro area?," Economic Modelling, Elsevier, vol. 24(2), pages 236-261, March.
  3. Rossi, Barbara, 2013. "Advances in Forecasting under Instability," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 1203-1324, Elsevier.
  4. David Genesove & James Hansen, 2014. "Predicting Dwelling Prices with Consideration of the Sales Mechanism," RBA Research Discussion Papers rdp2014-09, Reserve Bank of Australia.
  5. Pablo Pincheira, 2008. "Combining Tests of Predictive Ability Theory and Evidence for Chilean and Canadian Exchange Rates," Working Papers Central Bank of Chile 459, Central Bank of Chile.
  6. Peter Congdon, 2022. "A Model for Highly Fluctuating Spatio-Temporal Infection Data, with Applications to the COVID Epidemic," IJERPH, MDPI, vol. 19(11), pages 1-17, May.
  7. Wang, Cheng & Han, Jing, 2023. "Prospect theory and mutual fund flows: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
  8. Beutel, Johannes & List, Sophia & von Schweinitz, Gregor, 2018. "An evaluation of early warning models for systemic banking crises: Does machine learning improve predictions?," Discussion Papers 48/2018, Deutsche Bundesbank.
  9. Jank, Stephan, 2012. "Changes in the composition of publicly traded firms: Implications for the dividend-price ratio and return predictability," CFR Working Papers 12-08, University of Cologne, Centre for Financial Research (CFR).
  10. Ron Alquist & Lutz Kilian, 2010. "What do we learn from the price of crude oil futures?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 539-573.
  11. Xu, Hongyi & Katselas, Dean & Drienko, Jo, 2024. "A portfolio-level, sum-of-the-parts approach to return predictability," Journal of Empirical Finance, Elsevier, vol. 78(C).
  12. Todd E. Clark, 2004. "Can out-of-sample forecast comparisons help prevent overfitting?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(2), pages 115-139.
  13. Thomas Mayer, 2006. "The Empirical Significance of Econometric Models," Working Papers 620, University of California, Davis, Department of Economics.
  14. Dai, Zhifeng & Zhang, Xiaotong & Li, Tingyu, 2023. "Forecasting stock return volatility in data-rich environment: A new powerful predictor," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
  15. Schrimpf, Andreas, 2010. "International stock return predictability under model uncertainty," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1256-1282, November.
  16. Ferreira, Miguel A. & Santa-Clara, Pedro, 2011. "Forecasting stock market returns: The sum of the parts is more than the whole," Journal of Financial Economics, Elsevier, vol. 100(3), pages 514-537, June.
  17. Romulo A. Chumacero, 2004. "Forecasting Chilean Industrial Production with Automated Procedures," Econometric Society 2004 Latin American Meetings 177, Econometric Society.
  18. Daniel L. Thornton & Giorgio Valente, 2009. "Revisiting the predictability of bond risk premia," Working Papers 2009-009, Federal Reserve Bank of St. Louis.
  19. Gupta, Rangan & Pierdzioch, Christian & Vivian, Andrew J. & Wohar, Mark E., 2019. "The predictive value of inequality measures for stock returns: An analysis of long-span UK data using quantile random forests," Finance Research Letters, Elsevier, vol. 29(C), pages 315-322.
  20. Steven J. Jordan & Andrew Vivian & Mark E. Wohar, 2015. "Location, location, location: currency effects and return predictability?," Applied Economics, Taylor & Francis Journals, vol. 47(18), pages 1883-1898, April.
  21. Hambuckers, J. & Ulm, M., 2023. "On the role of interest rate differentials in the dynamic asymmetry of exchange rates," Economic Modelling, Elsevier, vol. 129(C).
  22. Calhoun, Gray, 2014. "Out-Of-Sample Comparisons of Overfit Models," Staff General Research Papers Archive 32462, Iowa State University, Department of Economics.
  23. Inoue, Atsushi & Kilian, Lutz, 2006. "On the selection of forecasting models," Journal of Econometrics, Elsevier, vol. 130(2), pages 273-306, February.
  24. Byrne, Joseph P. & Korobilis, Dimitris & Ribeiro, Pinho J., 2014. "On the Sources of Uncertainty in Exchange Rate Predictability," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 2015-24, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  25. Rapach, David E. & Ringgenberg, Matthew C. & Zhou, Guofu, 2016. "Short interest and aggregate stock returns," Journal of Financial Economics, Elsevier, vol. 121(1), pages 46-65.
  26. Dai, Zhifeng & Chang, Xiaoming, 2021. "Forecasting stock market volatility: Can the risk aversion measure exert an important role?," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  27. Yin-Wong Cheung & Wenhao Wang & Frank Westermann, 2025. "An In-Sample Evaluation of Exchange Rate Models: In Search of Scapegoats," IEER Working Papers 125, Institute of Empirical Economic Research, Osnabrueck University.
  28. Wen, Danyan & He, Mengxi & Wang, Yudong & Zhang, Yaojie, 2024. "Forecasting crude oil market volatility: A comprehensive look at uncertainty variables," International Journal of Forecasting, Elsevier, vol. 40(3), pages 1022-1041.
  29. Francesco Ravazzolo & Philip Rothman, 2013. "Oil and U.S. GDP: A Real-Time Out-of-Sample Examination," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(2-3), pages 449-463, March.
  30. Rómulo Chumacero E., 2004. "Forecasting Chilean Industrial Production and Sales With Automated Procedures," Journal Econom a Chilena (The Chilean Economy), Central Bank of Chile, vol. 7(3), pages 47-56, December.
  31. Krishnan, C.N.V. & Ritchken, Peter H. & Thomson, James B., 2010. "Predicting credit spreads," Journal of Financial Intermediation, Elsevier, vol. 19(4), pages 529-563, October.
  32. Pablo Pincheira, 2013. "A Simple Out-of-Sample Test for the Martingale Difference Hypothesis," Working Papers Central Bank of Chile 698, Central Bank of Chile.
  33. Beckmann, Joscha & Kerkemeier, Marco & Kruse-Becher, Robinson, 2025. "Regime-specific exchange rate predictability," Journal of Economic Dynamics and Control, Elsevier, vol. 176(C).
  34. Yu-Chin Chen & Kenneth S. Rogoff & Barbara Rossi, 2010. "Can Exchange Rates Forecast Commodity Prices?," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 125(3), pages 1145-1194.
  35. Renata Braga Berenguer de Vasconcelos & Joséte Florencio dos Santos & Jackeline Amantino de Andrade, 2021. "Innovation in Micro and Small Enterprises: Resources and Capabilities," RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration), ANPAD - Associação Nacional de Pós-Graduação e Pesquisa em Administração, vol. 25(2), pages 190106-1901.
  36. Ma, Feng & Guo, Yangli & Luo, Qin & Zhong, Juandan, 2025. "Forecasting corporate bond returns amid climate change risk: A dynamic forecast combination approach," Journal of International Money and Finance, Elsevier, vol. 154(C).
  37. repec:lan:wpaper:2450 is not listed on IDEAS
  38. Pham, Quynh Thi Thuy & Rudolf, Markus, 2021. "Gold, platinum, and industry stock returns," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 252-266.
  39. Allayioti, Anastasia & Venditti, Fabrizio, 2024. "The role of comovement and time-varying dynamics in forecasting commodity prices," Working Paper Series 2901, European Central Bank.
  40. Lee, Junsoo & List, John A. & Strazicich, Mark C., 2006. "Non-renewable resource prices: Deterministic or stochastic trends?," Journal of Environmental Economics and Management, Elsevier, vol. 51(3), pages 354-370, May.
  41. Dunbar, Kwamie, 2021. "Pricing the hedging factor in the cross-section of stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
  42. McGurk, Zachary, 2020. "US real estate inflation prediction: Exchange rates and net foreign assets," The Quarterly Review of Economics and Finance, Elsevier, vol. 75(C), pages 53-66.
  43. Gelper, Sarah & Croux, Christophe, 2007. "Multivariate out-of-sample tests for Granger causality," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3319-3329, April.
  44. Rangan Gupta & Jacobus Nel & Christian Pierdzioch, 2023. "Drivers of Realized Volatility for Emerging Countries with a Focus on South Africa: Fundamentals versus Sentiment," Mathematics, MDPI, vol. 11(6), pages 1-26, March.
  45. Pablo Pincheira & Jorge Selaive, 2011. "External imbalance, valuation adjustments and real Exchange rate: evidence of predictability in an emerging economy," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 26(1), pages 107-125, Junio.
  46. Marmer, Vadim, 2008. "Nonlinearity, nonstationarity, and spurious forecasts," Journal of Econometrics, Elsevier, vol. 142(1), pages 1-27, January.
  47. Todd E. Clark & Kenneth D. West, 2005. "Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference," NBER Technical Working Papers 0305, National Bureau of Economic Research, Inc.
  48. Pablo Pincheira Brown, 2022. "A Power Booster Factor for Out-of-Sample Tests of Predictability," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, vol. 45(89), pages 150-183.
  49. João Henrique G. Mazzeu & Gloria González-Rivera & Esther Ruiz & Helena Veiga, 2020. "A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities," Econometric Reviews, Taylor & Francis Journals, vol. 39(10), pages 971-990, November.
  50. Nelson Mark, 2012. "Exchange Rates as Exchange Rate Common Factors," Working Papers 011, University of Notre Dame, Department of Economics, revised Mar 2012.
  51. Kyriazakou, Eleni & Panagiotidis, Theodore, 2017. "Causality analysis of the Canadian city house price indices: A cross-sample validation approach," The Journal of Economic Asymmetries, Elsevier, vol. 16(C), pages 42-52.
  52. Hodrick, Robert J. & Tomunen, Tuomas, 2021. "Taking the Cochrane-Piazzesi Term Structure Model Out of Sample: More Data, Additional Currencies, and FX Implications," Critical Finance Review, now publishers, vol. 10(1), pages 83-123, April.
  53. Ming-Chih Lee & Chien-Liang Chiu & Wan-Hsiu Cheng, 2007. "Enhancing Forecast Accuracy By Using Long Estimation Periods," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 1(2), pages 1-9.
  54. Timmermann, Allan, 2018. "Forecasting Methods in Finance," CEPR Discussion Papers 12692, Centre for Economic Policy Research.
  55. Galvão, Ana Beatriz, 2013. "Changes in predictive ability with mixed frequency data," International Journal of Forecasting, Elsevier, vol. 29(3), pages 395-410.
  56. Shi, Qi & Li, Bin, 2022. "Further evidence on financial information and economic activity forecasts in the United States," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
  57. Keijsers, Bart & van Dijk, Dick, 2025. "Does economic uncertainty predict real activity in real time?," International Journal of Forecasting, Elsevier, vol. 41(2), pages 748-762.
  58. Yuan, Chunming, 2011. "The exchange rate and macroeconomic determinants: Time-varying transitional dynamics," The North American Journal of Economics and Finance, Elsevier, vol. 22(2), pages 197-220, August.
  59. Tri Minh Phan, 2024. "Sentiment-semantic word vectors: A new method to estimate management sentiment," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 160(1), pages 1-22, December.
  60. Huang, Wei-Qiang & Wang, Dan, 2020. "Financial network linkages to predict economic output," Finance Research Letters, Elsevier, vol. 33(C).
  61. Cotter, John & Eyiah-Donkor, Emmanuel & Potì, Valerio, 2023. "Commodity futures return predictability and intertemporal asset pricing," Journal of Commodity Markets, Elsevier, vol. 31(C).
  62. Brooks, Chris & Burke, Simon P. & Stanescu, Silvia, 2016. "Finite sample weighting of recursive forecast errors," International Journal of Forecasting, Elsevier, vol. 32(2), pages 458-474.
  63. Milas, Costas & Naraidoo, Ruthira, 2012. "Financial conditions and nonlinearities in the European Central Bank (ECB) reaction function: In-sample and out-of-sample assessment," Computational Statistics & Data Analysis, Elsevier, vol. 56(1), pages 173-189, January.
  64. Martin, Ian W.R. & Nagel, Stefan, 2022. "Market efficiency in the age of big data," Journal of Financial Economics, Elsevier, vol. 145(1), pages 154-177.
  65. Della Corte, Pasquale & Sarno, Lucio & Valente, Giorgio, 2010. "A century of equity premium predictability and the consumption-wealth ratio: An international perspective," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 313-331, June.
  66. Sepehr Ramyar & Farhad Kianfar, 2019. "Forecasting Crude Oil Prices: A Comparison Between Artificial Neural Networks and Vector Autoregressive Models," Computational Economics, Springer;Society for Computational Economics, vol. 53(2), pages 743-761, February.
  67. Huang, Dashan & Li, Jiangyuan & Wang, Liyao & Zhou, Guofu, 2020. "Time series momentum: Is it there?," Journal of Financial Economics, Elsevier, vol. 135(3), pages 774-794.
  68. Paulo Silva, 2015. "The information content of the open interest of credit default swaps," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 29(4), pages 381-427, November.
  69. Jin, Sainan & Corradi, Valentina & Swanson, Norman R., 2017. "Robust Forecast Comparison," Econometric Theory, Cambridge University Press, vol. 33(6), pages 1306-1351, December.
  70. Li, Leon & Miu, Peter, 2024. "Diversifying crude oil price risk with crude oil volatility index: The role of volatility-of-volatility," Journal of Commodity Markets, Elsevier, vol. 36(C).
  71. Todd E. Clark & Michael W. McCracken, 2010. "Testing for unconditional predictive ability," Working Papers 2010-031, Federal Reserve Bank of St. Louis.
  72. Della Corte, Pasquale & Sarno, Lucio & Thornton, Daniel L., 2008. "The expectation hypothesis of the term structure of very short-term rates: Statistical tests and economic value," Journal of Financial Economics, Elsevier, vol. 89(1), pages 158-174, July.
  73. Ron Alquist & Gregory Bauer & Antonio Diez de los Rios, 2014. "What Does the Convenience Yield Curve Tell Us about the Crude Oil Market?," Staff Working Papers 14-42, Bank of Canada.
  74. Li, Jian, 2025. "Predicting China's transportation sector volatility: Evidence from a new economic indicator," Finance Research Letters, Elsevier, vol. 84(C).
  75. Ana María Abarca G. & Felipe Alarcón G. & Pablo Pincheira B. & Jorge Selaive C., 2007. "Nominal Exchange Rate in Chile: Predictions based on technical analysis," Journal Econom a Chilena (The Chilean Economy), Central Bank of Chile, vol. 10(2), pages 57-80, August.
  76. Jorge Selaive & Vicente Tuesta, 2006. "Can fluctuations in the consumption-wealth ratio help to predict exchange rates?," Applied Financial Economics, Taylor & Francis Journals, vol. 16(17), pages 1251-1263.
  77. Laurence Fung & Ip-wing Yu, 2008. "Predicting Stock Market Returns by Combining Forecasts," Working Papers 0801, Hong Kong Monetary Authority.
  78. Sumudu W. Watugala, 2015. "Economic Uncertainty and Commodity Futures Volatility," Working Papers 15-14, Office of Financial Research, US Department of the Treasury.
  79. West, Kenneth D., 2006. "Forecast Evaluation," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 3, pages 99-134, Elsevier.
  80. Kaihua Deng, 2015. "Predicting By Learning: An Adaptive Rationale," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 1-14, December.
  81. Jordan, Steven J. & Vivian, Andrew & Wohar, Mark E., 2017. "Forecasting market returns: bagging or combining?," International Journal of Forecasting, Elsevier, vol. 33(1), pages 102-120.
  82. repec:lan:wpaper:2592 is not listed on IDEAS
  83. Manzan, Sebastiano & Westerhoff, Frank H., 2007. "Heterogeneous expectations, exchange rate dynamics and predictability," Journal of Economic Behavior & Organization, Elsevier, vol. 64(1), pages 111-128, September.
  84. repec:lan:wpaper:2369 is not listed on IDEAS
  85. Sousa, Ricardo M., 2010. "Consumption, (dis)aggregate wealth, and asset returns," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 606-622, September.
  86. Zhu, Min, 2013. "Return distribution predictability and its implications for portfolio selection," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 209-223.
  87. Cheung, Yin-Wong & Chinn, Menzie D. & Pascual, Antonio Garcia, 2005. "Empirical exchange rate models of the nineties: Are any fit to survive?," Journal of International Money and Finance, Elsevier, vol. 24(7), pages 1150-1175, November.
  88. Wei Dong & Deokwoo Nam, 2011. "Exchange Rates and Individual Good’s Price Misalignment: Some Preliminary Evidence of Long-Horizon Predictability," Discussion Papers 11-8, Bank of Canada.
  89. Markus Hertrich, 2022. "Foreign exchange interventions under a minimum exchange rate regime and the Swiss franc," Review of International Economics, Wiley Blackwell, vol. 30(2), pages 450-489, May.
  90. Sydney C. Ludvigson, 2004. "Consumer Confidence and Consumer Spending," Journal of Economic Perspectives, American Economic Association, vol. 18(2), pages 29-50, Spring.
  91. Kamocsai, László & Ormos, Mihály, 2026. "Modeling and forecasting commodity price volatility using a common leverage factor," The North American Journal of Economics and Finance, Elsevier, vol. 82(C).
  92. Ricardo M. Sousa, 2011. "Asset Returns Under Model Uncertainty: Evidence from the euro area, the U.K. and the U.S," Working Papers w201119, Banco de Portugal, Economics and Research Department.
  93. Ren, Xiaohang & Duan, Kun & Tao, Lizhu & Shi, Yukun & Yan, Cheng, 2022. "Carbon prices forecasting in quantiles," Energy Economics, Elsevier, vol. 108(C).
  94. David Haab & Thomas Nitschka, 2017. "Predicting returns on asset markets of a small, open economy and the influence of global risks," Working Papers 2017-14, Swiss National Bank.
  95. Raffaella Giacomini & Barbara Rossi, 2013. "Forecasting in macroeconomics," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 17, pages 381-408, Edward Elgar Publishing.
  96. Kim, Myung Suk, 2018. "Impacts of supply and demand factors on declining oil prices," Energy, Elsevier, vol. 155(C), pages 1059-1065.
  97. Todd E. Clark & Michael W. McCracken, 2010. "Reality checks and nested forecast model comparisons," Working Papers 2010-032, Federal Reserve Bank of St. Louis.
  98. Lu, Fei & Ma, Feng, 2023. "Cross-sectional uncertainty and stock market volatility: New evidence," Finance Research Letters, Elsevier, vol. 57(C).
  99. Gupta, Rangan & Modise, Mampho P., 2013. "Macroeconomic Variables and South African Stock Return Predictability," Economic Modelling, Elsevier, vol. 30(C), pages 612-622.
  100. Lutz Kilian & Robert J. Vigfusson, 2013. "Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(1), pages 78-93, January.
  101. Ryan Compton & Syeed Khan, 2010. "An examination of the stability of short-run Canadian stock predictability," Economics Bulletin, AccessEcon, vol. 30(2), pages 1293-1306.
  102. Alexandra Gkliati, 2023. "Job Satisfaction in the Health Care Sector: Empirical Evidence from Medical Care in Greece," European Journal of Economics and Business Studies Articles, Revistia Research and Publishing, vol. 9, January -.
  103. John Y. Campbell & Samuel B. Thompson, 2008. "Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?," The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1509-1531, July.
  104. Sousa, Ricardo M. & Vivian, Andrew & Wohar, Mark E., 2016. "Predicting asset returns in the BRICS: The role of macroeconomic and fundamental predictors," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 122-143.
  105. Giampiero M. Gallo & Edoardo Otranto, 2014. "Forecasting Realized Volatility with Changes of Regimes," Econometrics Working Papers Archive 2014_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", revised Feb 2014.
  106. Lance Bachmeier & Qi Li & Dandan Liu, 2008. "Should Oil Prices Receive So Much Attention? An Evaluation Of The Predictive Power Of Oil Prices For The U.S. Economy," Economic Inquiry, Western Economic Association International, vol. 46(4), pages 528-539, October.
  107. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
  108. Mr. Andreas Billmeier, 2004. "Ghostbusting: Which Output Gap Measure Really Matters?," IMF Working Papers 2004/146, International Monetary Fund.
  109. Jaime Casass