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CORRIGENDUM: Correction to

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  • Leeb, Hannes
  • P tscher, Benedikt M.

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  • Leeb, Hannes & P tscher, Benedikt M., 2008. "CORRIGENDUM: Correction to," Econometric Theory, Cambridge University Press, vol. 24(02), pages 581-583, April.
  • Handle: RePEc:cup:etheor:v:24:y:2008:i:02:p:581-583_08
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    References listed on IDEAS

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    1. Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2003. "Choosing the Best Volatility Models: The Model Confidence Set Approach," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 839-861, December.
    2. Joseph P. Romano & Michael Wolf, 2005. "Stepwise Multiple Testing as Formalized Data Snooping," Econometrica, Econometric Society, vol. 73(4), pages 1237-1282, July.
    3. Romano, Joseph P. & Wolf, Michael, 2001. "Improved nonparametric confidence intervals in time series regressions," DES - Working Papers. Statistics and Econometrics. WS ws010201, Universidad Carlos III de Madrid. Departamento de Estadística.
    4. Krolzig, Hans-Martin & Hendry, David F., 2001. "Computer automation of general-to-specific model selection procedures," Journal of Economic Dynamics and Control, Elsevier, vol. 25(6-7), pages 831-866, June.
    5. Hansen, Peter Reinhard, 2005. "A Test for Superior Predictive Ability," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 365-380, October.
    6. Ryan Sullivan & Allan Timmermann & Halbert White, 1999. "Data-Snooping, Technical Trading Rule Performance, and the Bootstrap," Journal of Finance, American Finance Association, vol. 54(5), pages 1647-1691, October.
    7. Sullivan, Ryan & Timmermann, Allan & White, Halbert, 2001. "Dangers of data mining: The case of calendar effects in stock returns," Journal of Econometrics, Elsevier, vol. 105(1), pages 249-286, November.
    8. Kabaila, Paul & Leeb, Hannes, 2006. "On the Large-Sample Minimal Coverage Probability of Confidence Intervals After Model Selection," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 619-629, June.
    9. Abramovich, Felix & Benjamini, Yoav, 1996. "Adaptive thresholding of wavelet coefficients," Computational Statistics & Data Analysis, Elsevier, vol. 22(4), pages 351-361, August.
    10. Hidetoshi Shimodaira, 1998. "An Application of Multiple Comparison Techniques to Model Selection," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 50(1), pages 1-13, March.
    11. Andrews, Donald W K & Monahan, J Christopher, 1992. "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," Econometrica, Econometric Society, vol. 60(4), pages 953-966, July.
    12. Joseph P. Romano & Azeem M. Shaikh & Michael Wolf, 2010. "multiple testing," The New Palgrave Dictionary of Economics, Palgrave Macmillan.
    13. Joseph P. Romano & Michael Wolf, 2005. "Exact and Approximate Stepdown Methods for Multiple Hypothesis Testing," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 94-108, March.
    14. Timmermann, Allan, 2006. "Forecast Combinations," Handbook of Economic Forecasting, Elsevier.
    15. Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2005. "Model confidence sets for forecasting models," FRB Atlanta Working Paper 2005-07, Federal Reserve Bank of Atlanta.
    16. Halbert White, 2000. "A Reality Check for Data Snooping," Econometrica, Econometric Society, vol. 68(5), pages 1097-1126, September.
    17. Xiaotong Shen & Hsin-Cheng Huang & Jimmy Ye, 2004. "Inference After Model Selection," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 751-762, January.
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