Rolling window selection for out-of-sample forecasting with time-varying parameters

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Title
Rolling window selection for out-of-sample forecasting with time-varying parameters
Authors
Keywords
Macroeconomic forecasting, Parameter instability, Nonparametric estimation, Bandwidth selection
Journal
JOURNAL OF ECONOMETRICS
Volume 196, Issue 1, Pages 55-67
Publisher
Elsevier BV
Online
2016-10-11
DOI
10.1016/j.jeconom.2016.03.006

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