Hsu, Po-Hsuan; Hsu, Yu-Chin; Kuan, Chung-Ming - In: Journal of Empirical Finance 17 (2010) 3, pp. 471-484
In the finance literature, statistical inferences for large-scale testing problems usually suffer from data snooping bias. In this paper we extend the "superior predictive ability" (SPA) test of Hansen (2005, JBES) to a stepwise SPA test that can identify predictive models without potential data...