ReferencesΒΆ
Articles used in the creation of this module include
[Hansen]
Hansen, P. R. (2005). A test for superior predictive ability. Journal of Business & Economic Statistics, 23(4).
[HansenLundeNason]
Hansen, P. R., Lunde, A., & Nason, J. M. (2011). The model confidence set. Econometrica, 79(2), 453-497.
[RomanoWolf]
Romano, J. P., & Wolf, M. (2005). Stepwise multiple testing as formalized data snooping. Econometrica, 73(4), 1237-1282.
[White]
White, H. (2000). A reality check for data snooping. Econometrica, 68(5), 1097-1126.