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Non-asymptotic tests of model performance

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  • Sylvain Chassang

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Suggested Citation

  • Sylvain Chassang, 2009. "Non-asymptotic tests of model performance," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 41(3), pages 495-514, December.
    • Handle: RePEc:spr:joecth:v:41:y:2009:i:3:p:495-514
    DOI: 10.1007/s00199-008-0408-y
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    References listed on IDEAS

    as
    1. Lo, Andrew W & MacKinlay, A Craig, 1990. "Data-Snooping Biases in Tests of Financial Asset Pricing Models," The Review of Financial Studies, Society for Financial Studies, vol. 3(3), pages 431-467.
    2. Jensen, Michael C & Bennington, George A, 1970. "Random Walks and Technical Theories: Some Additional Evidence," Journal of Finance, American Finance Association, vol. 25(2), pages 469-482, May.
    3. Halbert White, 2000. "A Reality Check for Data Snooping," Econometrica, Econometric Society, vol. 68(5), pages 1097-1126, September.
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    Cited by:

    1. Huiming Zhang & Haoyu Wei & Guang Cheng, 2023. "Tight Non-asymptotic Inference via Sub-Gaussian Intrinsic Moment Norm," Papers 2303.07287, arXiv.org, revised Jan 2024.

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    More about this item

    Keywords

    Selection bias; Non-asymptotic tests; Model selection; C12; C14; C44;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory

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