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...

In this study, we propose a Stepwise SPA Test which is powerful in searching for predictive models or profitable investment targets with appropriate family-wise error control. Our testing method, built on White's Reality Check (2000), Hansen's SPA test (2005), and Romano and Wolf's stepwise...

In the finance literature, statistical inferences for large-scale testing problems usually suffer from data snooping bias. In this paper we extend the quot;superior predictive abilityquot; (SPA) test of Hansen (2005, JBES) to a stepwise SPA test that can identify predictive models without...