Stepwise Multiple Testing as Formalized Data Snooping
From MaRDI portal
Publication:5393931
DOI10.1111/j.1468-0262.2005.00615.xzbMath1153.62310WikidataQ57309252 ScholiaQ57309252MaRDI QIDQ5393931
Michael Wolf, Joseph P. Romano
Publication date: 24 October 2006
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10230/1216
62P20: Applications of statistics to economics
62F03: Parametric hypothesis testing
62J15: Paired and multiple comparisons; multiple testing
Related Items
Weak Form Efficiency of Selected European Stock Markets: Alternative Testing Approaches, Decision trees unearth return sign predictability in the S&P 500, TESTING REGRESSION MONOTONICITY IN ECONOMETRIC MODELS, INFERENCE IN NONPARAMETRIC SERIES ESTIMATION WITH SPECIFICATION SEARCHES FOR THE NUMBER OF SERIES TERMS, Trading profitability from learning and adaptation on the Tokyo Stock Exchange, QuantNet: transferring learning across trading strategies, Multidimensional Poverty: Measurement, Estimation, and Inference, An Intersection Test for Panel Unit Roots, Bootstrap Sequential Tests to Determine the Order of Integration of Individual Units in A Time Series Panel, BOOTSTRAP UNION TESTS FOR UNIT ROOTS IN THE PRESENCE OF NONSTATIONARY VOLATILITY, Bootstrap Joint Prediction Regions, Simultaneous Statistical Inference in Dynamic Factor Models, Dependence of Stock Returns in Bull and Bear Markets, TESTING A PARAMETRIC TRANSFORMATION MODEL VERSUS A NONPARAMETRIC ALTERNATIVE, Robust block bootstrap panel predictability tests, Permutation test for heterogeneous treatment effects with a nuisance parameter, Statistical tests for multiple forecast comparison, Control of generalized error rates in multiple testing, Multiplicity- and dependency-adjusted \(p\)-values for control of the family-wise error rate, Efficient computation of adjusted \(p\)-values for resampling-based stepdown multiple testing, Designing neural networks for modeling biological data: a statistical perspective, A new test for linear inequality constraints when the variance-covariance matrix depends on the unknown parameters, Stepup procedures for control of generalizations of the familywise error rate, Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes, Data-based ranking of realised volatility estimators, Estimation and model selection of semiparametric multivariate survival functions under general censorship, Mutual fund performance: false discoveries, bias, and power, Comparison of value-at-risk models using the MCS approach, Bootstrap hypothesis testing for some common statistical problems: a critical evaluation of size and power properties, Nonstationary-volatility robust panel unit root tests and the great moderation, Multiple tests for the performance of different investment strategies, Asymptotic inference about predictive accuracy using high frequency data, Measuring network systemic risk contributions: a leave-one-out approach, Simultaneous statistical inference in dynamic factor models: chi-square approximation and model-based bootstrap, Further properties of random orthogonal matrix simulation, Inference after estimation of breaks, Variable selection In regression models using global sensitivity analysis, No pain, no gain: you should always incorporate trading costs for a bias-free evaluation of trading rule overperformance, The profitability in the FTSE 100 index: a new Markov chain approach, Sequential tests of multiple hypotheses controlling type I and II familywise error rates, Confidence intervals for dependent data: equating non-overlap with statistical significance, Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order, A specification test for discrete choice models, Hypothesis testing for arbitrary bounds, Generalizing Simes' test and Hochberg's stepup procedure, Further results on controlling the false discovery proportion, Flexible HAR model for realized volatility, Bonferroni-type Plug-in Procedure Controlling Generalized Familywise Error Rate, A MODEL SELECTION TEST FOR BIVARIATE FAILURE-TIME DATA, Multistage Tests of Multiple Hypotheses, FORMALIZED DATA SNOOPING BASED ON GENERALIZED ERROR RATES