A Reality Check For Data Snooping
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The White Reality Check and Some of Its Recent Extensions∗
Halbert White’s A Reality Check for Data snooping (Econometrica, 2000) is a seminal contribution to the literature on comparing a benchmark model against multiple competitors. In the paper, he suggests a novel approach for controlling the overall error rate, thus circumventing the data snooping problem arising when comparing multiple different models. In this chapter, we discuss several recent ...
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Article history: Received 25 October 2008 Received in revised form 19 July 2009 Accepted 5 January 2010 Available online 18 January 2010 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 pred...
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In this paper, we re-examine the profitability of technical analysis using the Reality Check of White (2000, Econometrica) that corrects the data snooping bias. Comparing to previous studies, we study a more complete “universe” of trading techniques, including not only simple trading rules but also investor’s strategies, and we test the profitability of these rules and strategies with four main...
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تاریخ انتشار 2000