Rolling Strategy and Expanding Strategy Forecasting
Posted: Wed May 15, 2019 4:16 pm
Hi,
I an trying to forecast a series using equation. Following the guide book, I am able to forecast the series but I am unable to understand the difference between in-sample and out-sample forecast. So far to my understanding in-sample forecast has estimation period equivalent to the forecast period and in out-sample we have the estimation period is slightly less. The confusion arises when I have to perform h-horizon ahead in-sample and out-sample forecast. I am not able to do can someone help me with this.
Also, is rolling strategy equivalent to out-sample forecast and expanding strategy in-sample forecast?
Thanks,
Saakshi
I an trying to forecast a series using equation. Following the guide book, I am able to forecast the series but I am unable to understand the difference between in-sample and out-sample forecast. So far to my understanding in-sample forecast has estimation period equivalent to the forecast period and in out-sample we have the estimation period is slightly less. The confusion arises when I have to perform h-horizon ahead in-sample and out-sample forecast. I am not able to do can someone help me with this.
Also, is rolling strategy equivalent to out-sample forecast and expanding strategy in-sample forecast?
Thanks,
Saakshi