What are the advantages of static subsamples in comparison to rolling window subsamples when trying to capture a changing degree of efficiency?

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Peter MacDough

Thank you very much, Ulrich!

Adrian E. Tschoegl

Off-the-cuff, one issue with rolling samples is that the samples, because they overlap, are not independent. The results will be serially correlated. With static, non-overlapping samples, the parameters that you estimate per sample are independent. Also, if you are looking for breaks/changes in regime, rolling samples will smooth out the data. Static samples enable you to detect breaks, if you have reason to expect breaks.

Thank you Adrian - your answer is very helpful!