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Almost always, a model developed on one set of data will fail to fit a second independent sample nearly as well. Mielke et al. [1996] investigated the effects of sample size, type of regression model, and noise-to-signal ratio on the decrease or shrinkage in fit from the calibration to the validation dataset.
For more on leave-one-out validation, see Michaelsen [1987], Weisberg [1985], and Barnston and van den Dool [1993]. Camstra and Boomsma [1992] and Shao and Tu [1995] review the application of resampling in regression.
Miller, Hui, and Tierney [1991] propose validation techniques for logistic regression models. Taylor [2000] recommends the bootstrap for validating financial models.
Watterson [1966] reviews the various measures of predictive accuracy.
Notes
1 For examples and discussion of autoregressive integrated moving average processes, see Brockwell and Davis [1987].
2 Or somewhat worse, because hogs generally have a higher percentage of fresh air to breathe.
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