A Reality Check for Data Snooping
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Publication:4530982
DOI10.1111/1468-0262.00152zbMATH Open1008.62116OpenAlexW2135606128MaRDI QIDQ4530982FDOQ4530982
Publication date: 28 May 2002
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1468-0262.00152
Applications of statistics to economics (62P20) Nonparametric statistical resampling methods (62G09) Inference from stochastic processes and prediction (62M20)
Cited In (only showing first 100 items - show all)
- Testing forecast accuracy of foreign exchange rates: Predictions from feed forward and various recurrent neural network architectures
- Predictive ability tests with possibly overlapping models
- Exploiting the errors: a simple approach for improved volatility forecasting
- Augmenting the realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects
- The intra-day performance of market timing strategies and trading systems based on Japanese candlesticks
- Combining non-cointegration tests
- Measuring network systemic risk contributions: a leave-one-out approach
- Foreign exchange market prediction with multiple classifiers
- THE FAIR REWARD PROBLEM: THE ILLUSION OF SUCCESS AND HOW TO SOLVE IT
- Decision trees unearth return sign predictability in the S&P 500
- Using information quality for volatility model combinations
- Dangers of data mining: The case of calendar effects in stock returns
- Cryptocurrency volatility forecasting: what can we learn from the first wave of the COVID-19 outbreak?
- A closer look at return predictability of the US stock market: evidence from new panel variance ratio tests
- Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality
- A dynamic Nelson-Siegel model with forward-looking macroeconomic factors for the yield curve in the US
- Time-varying forecast combination for high-dimensional data
- On the source of stochastic volatility: evidence from CAC40 index options during the subprime crisis
- Editorial: Causality, prediction, and specification analysis: recent advances and future directions
- Supervised portfolios
- Online learning and forecast combination in unbalanced panels
- Evaluation of volatility predictions in a VaR framework
- Comonotonicity and low volatility effect
- INFERENCE IN NONPARAMETRIC SERIES ESTIMATION WITH SPECIFICATION SEARCHES FOR THE NUMBER OF SERIES TERMS
- Semi-varying coefficient panel data model with technical indicators predicts stock returns in financial market
- Trading profitability from learning and adaptation on the Tokyo Stock Exchange
- Exploiting ergodicity in forecasts of corporate profitability
- Inference in coarsened time series via generalized method of moments
- Out-of-sample tests for conditional quantile coverage an application to Growth-at-Risk
- Unlucky Number 13? Manipulating Evidence Subject to Snooping
- Risk Measure Inference
- Multi-Horizon Forecast Comparison
- Direct comparison of agent-based models of herding in financial markets
- BOOTSTRAP UNION TESTS FOR UNIT ROOTS IN THE PRESENCE OF NONSTATIONARY VOLATILITY
- Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter
- Asymptotic Inference for Performance Fees and the Predictability of Asset Returns
- Testing Nowcast Monotonicity with Estimated Factors
- Dynamic forecasting performance and liquidity evaluation of financial market by econophysics and Bayesian methods
- Managing portfolio diversity within the mean variance theory
- A test for the distributional comparison of simulated and historical data
- Bootstrap tests of multiple inequality restrictions on variance ratios
- No pain, no gain: you should always incorporate trading costs for a bias-free evaluation of trading rule overperformance
- Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions
- Linear time-varying regression with copula-DCC-GARCH models for volatility
- Non-asymptotic tests of model performance
- Statistical arbitrage: factor investing approach
- Non-Linear Interactions and Exchange Rate Prediction: Empirical Evidence Using Support Vector Regression
- Tail-risk protection trading strategies
- Estimating stochastic discount factor models with hidden regimes: applications to commodity pricing
- The profitability in the FTSE 100 index: a new Markov chain approach
- Forecasting price of financial market crash via a new nonlinear potential GARCH model
- Forecasting long-term interest rates with a general-equilibrium model of the Euro area: what role for liquidity services of bonds?
- Reprint of: Out-of-sample tests for conditional quantile coverage: an application to growth-at-risk
- Nonparametric assessment of hedge fund performance
- Finite-sample Resampling-based Combined Hypothesis Tests, with Applications to Serial Correlation and Predictability
- Asymptotics of K-fold cross validation
- Evaluation of strategy portfolios
- On the size control of the hybrid test for superior predictive ability
- Bootstrap Sequential Tests to Determine the Order of Integration of Individual Units in A Time Series Panel
- Testing the predictive ability of corridor implied volatility under GARCH models
- Consistent variable selection in large panels when factors are observable
- Improved central limit theorem and bootstrap approximations in high dimensions
- Econometric software development: past, present and future
- Multiple tests for the performance of different investment strategies
- Estimation and model selection of semiparametric multivariate survival functions under general censorship
- Designing neural networks for modeling biological data: a statistical perspective
- Model selection tests for nonlinear dynamic models
- Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data
- Neural networks in financial trading
- Technical trading and cryptocurrencies
- In-sample tests of predictive ability: a new approach
- Consistency of the stationary bootstrap under weak moment conditions
- Nonlinearity, data-snooping, and stock index ETF return predictability
- Bootstrap conditional distribution tests in the presence of dynamic misspecification
- Robust out-of-sample inference
- Tests of equal forecast accuracy and encompassing for nested models
- Consistent ranking of volatility models
- Forecasting financial and macroeconomic variables using data reduction methods: new empirical evidence
- A new test for linear inequality constraints when the variance-covariance matrix depends on the unknown parameters
- Asymptotic inference about predictive accuracy using high frequency data
- Testing for Granger causality in large mixed-frequency VARs
- Specification search in nonlinear time-series models using the genetic algorithm.
- Nonlinearity, nonstationarity, and spurious forecasts
- A joint econometric model of macroeconomic and term-structure dynamics
- Validating forecasts of the joint probability density of bond yields: can affine models beat random walk?
- Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach
- ROBUST FORECAST COMPARISON
- Improving the Power of Tests of Stochastic Dominance
- AUTOMATED DISCOVERY IN ECONOMETRICS
- Copula-based multivariate GARCH model with uncorrelated dependent errors
- A consistent test for nonlinear out of sample predictive accuracy.
- Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector
- Comparison of value-at-risk models using the MCS approach
- Likelihood-based scoring rules for comparing density forecasts in tails
- Robust trading rule selection and forecasting accuracy
- Mutual fund performance: false discoveries, bias, and power
- Evaluation of Asset Pricing Models Using Two-Pass Cross-Sectional Regressions
- Simulated Method of Moments Estimation for Copula-Based Multivariate Models
- A model selection test for bivariate failure-time data
- Robust ranking of multivariate GARCH models by problem dimension
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