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In this paper, we provide a novel way to estimate the out-of-sample predictive ability of a trading rule. Usually, this ability is estimated using a sample-splitting scheme, true out-of-sample data being rarely available. We argue that this method makes poor use of the available data and creates...
Persistent link: https://www.econbiz.de/10012987735
Mediation analysis is central to theory building and testing in organizations research. Management scholars often use … linear regression analysis based on normal-theory maximum likelihood estimators to test mediation. However, these estimators …. This sensitivity seriously threatens the empirical testing of theory about mediation mechanisms, as many empirical studies …
Persistent link: https://www.econbiz.de/10014033509
Optimization of simulated systems is the goal of many methods, but most methods assume known environments. We, however, develop a `robust' methodology that accounts for uncertain environments. Our methodology uses Taguchi's view of the uncertain world, but replaces his statistical techniques by...
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Theory in time series analysis is often developed in the context of finite-dimensional models for the data generating …
Persistent link: https://www.econbiz.de/10009660380
Testing procedures for predictive regressions with lagged autoregressive variables imply a suboptimal inference in presence of small violations of ideal assumptions. We propose a novel testing framework resistant to such violations, which is consistent with nearly integrated regressors and...
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