Tuesday, April 6, 2021

Time series cross-validation in ENET

EViews 12 has added several new enhancements to ENET (elastic net) such as the ability to add observation and variable weights and additional cross-validation methods.

In this blog post we will show one of the new methods for time series cross-validation. The demonstration will compare the forecasting performance of rolling window cross-validation with models constructed from least squares as well as a simple split of our dataset into training and test sets.

We will be evaluating the out-of-sample prediction abilities of this new technique on some important macroeconomic variables. The analysis will show the promising forecast performance obtained on the variables in this dataset by using a time series specific cross validation method compared with simpler methods.