Implementing Statistical Criteria to Select Return Forecasting Models: What Do We Learn?
نویسندگان
چکیده
منابع مشابه
Implementing Statistical Criteria to Select Return Forecasting Models: What Do We Learn?
Statistical model selection criteria provide an informed choice of the model with best external (i.e., out-of-sample) validity. Therefore they guard against overfitting (“data snooping”). We implement several model selection criteria in order to verify recent evidence of predictability in excess stock returns and to determine which variables are valuable predictors. We confirm the presence of i...
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ژورنال
عنوان ژورنال: Review of Financial Studies
سال: 1999
ISSN: 0893-9454,1465-7368
DOI: 10.1093/rfs/12.2.405