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Dangers of data mining: The case of calendar effects in stock returns

, , and . Journal of Econometrics, 105 (1): 249--286 (November 2001)

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Forecast evaluation with shared data sets, , and . International Journal of Forecasting, 19 (2): 217--227 (00 2003)Asymptotic Distribution Theory for Nonparametric Entropy Measures of Serial Dependence, and . Econometrica, 73 (3): 837--901 (121 05 2005)doi: 10.1111/j.1468-0262.2005.00597.x.Time-series estimation of the effects of natural experiments. Journal of Econometrics, 135 (1-2): 527--566 (00 2006)Testing for neglected nonlinearity in time series models : A comparison of neural network methods and alternative tests, , and . Journal of Econometrics, 56 (3): 269--290 (April 1993)Interval forecasting : An analysis based upon ARCH-quantile estimators, , and . Journal of Econometrics, 40 (1): 87--96 (January 1989)Tests for model specification in the presence of alternative hypotheses : Some further results, , and . Journal of Econometrics, 21 (1): 53--70 (January 1983)Multilayer feedforward networks are universal approximators., , and . Neural Networks, 2 (5): 359-366 (1989)Settable Systems: An Extension of Pearl's Causal Model with Optimization, Equilibrium, and Learning., and . J. Mach. Learn. Res., (2009)Testing a constant mean function using functional regression., , and . Neural Comput. Appl., 35 (29): 21915-21934 (October 2023)Testing for Regime Switching, and . Econometrica, 75 (6): 1671--1720 (305 11 2007)doi: 10.1111/j.1468-0262.2007.00809.x.