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Can out-of-sample forecast comparisons help prevent overfitting?
Clark, Todd E. - 2000
Persistent link: https://www.econbiz.de/10001554626
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The deflated Sharpe ratio : correcting for selection bias, backtest overfitting, and non-normality
Bailey, David H.; López de Prado, Marcos M. - In: The journal of portfolio management : a publication of … 40 (2014), pp. 94-107
Persistent link: https://www.econbiz.de/10011433463
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Uniform inference in predictive regression models
Chen, Willa W.; Deo, Rohit S.; Yi, Yanping - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 4, pp. 525-533
Persistent link: https://www.econbiz.de/10010337853
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Statistical analysis of Texas State Highways' cost indices
Mahpour, Amirreza - In: International journal of transport economics : IJTE 47 (2020) 1, pp. 15-36
Persistent link: https://www.econbiz.de/10012241037
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Empirical simultaneous confidence regions for path-forecasts
Jordà, Òscar; Knüppel, Malte; Marcellino, Massimiliano - 2010
Persistent link: https://www.econbiz.de/10003976664
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Empirical simultaneous confidence regions for path-forecasts
Jordà, Òscar; Knüppel, Malte; Marcellino, Massimiliano - 2010
Persistent link: https://www.econbiz.de/10003960556
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Empirical simultaneous confidence regions for path-forecasts
Jordà, Òscar; Knüppel, Malte; Marcellino, Massimiliano - 2010
-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 …
Persistent link: https://www.econbiz.de/10003962215
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Are apparent findings of nonlinearity due to structural instability in economic time series?
Koop, Gary; Potter, Simon M. - 1999
Persistent link: https://www.econbiz.de/10001398335
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Discrete factor approximations in simultaneous equation models : estimating the impact of a dummy endogenous variable on a continuous outcome
Mroz, Thomas A. - In: Journal of econometrics 92 (1999) 2, pp. 233-274
Persistent link: https://www.econbiz.de/10001400166
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Discrete factor approximations in simultaneous equation models : estimating the impact of a dummy endogenous variable on a continuous outcome
Mroz, Thomas A. - In: Journal of econometrics 92 (1999) 2, pp. 233-274
Persistent link: https://www.econbiz.de/10001400168