Out of sample in cross-sectional model

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10dechile
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Joined: Mon Jul 31, 2017 7:39 pm

Out of sample in cross-sectional model

Postby 10dechile » Tue Apr 05, 2022 9:57 pm

Hello !
Im working with cross-sectional data fitting a Least Squares model.
n = around 400 obs.
In the past i have made a lot of forecasting exercises with time-series models, mainly dynamic forecasting technique through mobile window sizes. But in this case, i dont know which is a robust methodology for selecting the out of sample data in order to make a forecasting exercise with a cross-sectional model. My intuition tells me the diversity of the sample should be high, but its only a basic idea.

Can anyone suggest me a robust methodology? If there is some literature available, i would appreciate it a lot too

Thanks

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