-parametric estimation is impractical given commonly available predictive sample sizes. Instead, this paper derives the approximate … inflation. -- Path forecast ; forecast uncertainty ; simultaneous confidence region ; Scheffé’s S-method ; Mahalanobis distance …

.The problem of performance inflation extends beyond backtesting. More generally, researchers and investors tend to report only … performance inflation: Selection bias under multiple testing and non-Normally distributed returns. In doing so, DSR helps separate …

application, modeling quarterly U.S. inflation …

direct forecasts when estimation error is a first-order concern, i.e. in small samples and for long forecast horizons …