Recursive/Rolling/Tiled windows

[ac_1]

Hi Tom,

There’s an Estima web-page with examples of recursive, rolling (both of which are straightforward) and tiled i.e. non-overlapping rolling windows, estimations and forecasts; which unfortunately I cannot seem to locate. Please can you provide the link. Thanks.

Amarjit

[TomDoan]

That's covered in the User's Guide.

https://estima.com/docs/RATS 10 Users Guide.pdf#page=376

I don't know what the point of tiled windows is for forecasting---non-overlapping blocks can make some sense for testing (basically that's what a Chow test uses) and for bootstrapping with correlated data.

[ac_1]

non-overlapping blocks can make some sense for testing (basically that's what a Chow test uses) and for bootstrapping with correlated data.

Thanks! Are there examples of the aforementioned?

[TomDoan]

Sorry, about what? The tiled windows? Block bootstrapping is done by drawing the shuffles generated with BOOT with the BLOCK and METHOD=NOOVERLAP options.

[ac_1]

Sorry, about what? The tiled windows?

I meant the Chow test and Block bootstrapping.

I have seen an example of the Chow test: https://estima.com/ratshelp/index.html?chowtestrpf.html

Block bootstrapping is done by drawing the shuffles generated with BOOT with the BLOCK and METHOD=NOOVERLAP options.

Thanks.