Search Results - subject:"Data Snooping"

Pesaran, M.H.; Timmermann, A. - Faculty of Economics, University of Cambridge - 2004

stages involved and highlights the role of automated systems in reducing the effect of data snooping. It sets out many …

Persistent link: https://www.econbiz.de/10005783852

Re-Examining the Profitability of Technical Analysis with White’s Reality Check

Hsu, Po-Hsuan; Kuan, Chung-Ming - Institute of Economics, Academia Sinica - 2004

, Econometrica) that corrects the data snooping bias. Comparing to previous studies, we study a more complete “universe” of trading …

Persistent link: https://www.econbiz.de/10008623444

Real time econometrics

Pesaran, M. Hashem; Timmermann, Allan - 2004

stages involved and highlights the role of automated systems in reducing the effect of data snooping. It sets out many …

Persistent link: https://www.econbiz.de/10011402465

A Test for Comparing Multiple Misspecified Conditional Distributions

Corradi, Valentina; Swanson, Norman R. - 2003

This paper introduces a conditional Kolmogorov test, in the spirit of Andrews (1997), that allows for comparison of multiple misspecifed conditional distribution models, for the case of dependent observations. A conditional confidence interval version of the test is also discussed. Model...

Persistent link: https://www.econbiz.de/10010263215

Is momentum due to data-snooping?

Ericsson, Johan; González, Andrés - 2003

profitability. To avoid the serious problem of data-snooping we apply the procedure provided by White (2000). Overall, we find …

Persistent link: https://www.econbiz.de/10010281287

Forecasting Inflation in the Euro Area

Bruneau, C.; De Bandt, O.; Flageollet, A. - Banque de France - 2003

sample. We also show that the results are rather robust to potential data-snooping. …

Persistent link: https://www.econbiz.de/10005056518

Stepwise multiple testing as formalized data snooping

Romano, Joseph P.; Wolf, Michael - Department of Economics and Business, Universitat … - 2003

It is common in econometric applications that several hypothesis tests are carried out at the same time. The problem then becomes how to decide which hypotheses to reject, accounting for the multitude of tests. In this paper, we suggest a stepwise multiple testing procedure which asymptotically...

Persistent link: https://www.econbiz.de/10005771987

Is Momentum Due to Data-Snooping?

Ericsson, Johan; González, Andrés - Economics Institute for Research (SIR), … - 2003

profitability. To avoid the serious problem of data-snooping we apply the procedure provided by White (2000). Overall, we find …Is Momentum Due to Data-Snooping? Johan Ericsson ∗ Stockholm School of Economics Andr´es Gonz´alez Stockholm School of … lies in the way we test for profitability. To avoid the serious problem of data-snooping we apply the procedure provided by …

Persistent link: https://www.econbiz.de/10005190897

Scope for Cost Minimization in Public Debt Management: the Case of the UK

Coe, P.J.; Pesaran, M.H.; Vahey, S.P. - Faculty of Economics, University of Cambridge - 2003

and Timmermann (1995, 2000), which limits the extent of data snooping. Statistically significant evidence of …

Persistent link: https://www.econbiz.de/10005113821

Data Snooping on Technical Analysis: Evidence from the Taiwan Stock Market

Chen, Cheng-Wei; Huang, Chin-Sheng; Lai, Hung-Wei - In: Review of Pacific Basin Financial Markets and Policies … 14 (2011) 02, pp. 195-212

results indicate that this triad-data snooping, non-synchronous trading and transaction costs, has a great impact on the …

Persistent link: https://www.econbiz.de/10009143992