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
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Cited In (only showing first 100 items - show all)
- 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
- Testing multiple inequality hypotheses: a smoothed indicator approach
- Nested forecast model comparisons: a new approach to testing equal accuracy
- Improving robust model selection tests for dynamic models
- Automatic Block-Length Selection for the Dependent Bootstrap
- Volatility forecasting accuracy for Bitcoin
- A predictability test for a small number of nested models
- Bootstrap analysis of mutual fund performance
- Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
- Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
- Data-based ranking of realised volatility estimators
- Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models
- Forecasting foreign exchange rates with adaptive neural networks using radial-basis functions and particle swarm optimization
- Statistical properties of parametric estimators for Markov chain vectors based on copula models
- Statistical tests for multiple forecast comparison
- Stock and bond return predictability: the discrimination power of model selection criteria
- Predictive density and conditional confidence interval accuracy tests
- A TEST FOR COMPARING MULTIPLE MISSPECIFIED CONDITIONAL INTERVAL MODELS
- Pseudo-likelihood ratio tests for semiparametric multivariate copula model selection
- Nonparametric likelihood ratio model selection tests between parametric likelihood and moment condition models
- Asymptotics for out of sample tests of Granger causality
- FORMALIZED DATA SNOOPING BASED ON GENERALIZED ERROR RATES
- Asymptotic refinements of a misspecification-robust bootstrap for GEL estimators
- Further properties of random orthogonal matrix simulation
- Predictive ability with cointegrated variables
- An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series
- In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
- Comparison of misspecified calibrated models: the minimum distance approach
- Chi-squared tests for evaluation and comparison of asset pricing models
- On loss functions and ranking forecasting performances of multivariate volatility models
- 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
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