Working Paper

A Note on the Finite Sample Bias in Time Series Cross-Validation

Abstract: It is well known that model selection via cross validation can be biased for time series models. However, many researchers have argued that this bias does not apply when using cross-validation with vector autoregressions (VAR) or with time series models whose errors follow a martingale-like structure. I show that even under these circumstances, performing cross-validation on time series data will still generate bias in general.

JEL Classification: C52; C50; C10;

https://doi.org/10.1016/j.csda.2017.11.003

Bibliographic Information

Provider: Federal Reserve Bank of Kansas City

Part of Series: Research Working Paper

Publication Date: 2025-11-24

Number: RWP 25-17