Gupta, Rangan; Modise, Mampho P. - Department of Economics, Faculty of Economic and … - 2011
. We base our analysis on a predictive regression framework, using monthly data covering the in-sample period between 1990 … to data mining. To guard against this, we employ a bootstrap procedure to construct critical values that account for data …-ahead horizons. When accounting for data mining, both the in-sample and the out-of-sample test statistics become insignificant at all …