@inbook{10.2307/j.ctt7tccx.15,
ISBN = {9780691092560},
URL = {http://www.jstor.org/stable/j.ctt7tccx.15},
abstract = {The reliance of economic science upon nonexperimental inference is, at once, one of the most challenging and most nettlesome aspects of the discipline. Because of the virtual impossibility of controlled experimentation in economics, the importance of statistical data analysis is nowwell-established. However, there is a growing concern that the procedures under which formal statistical inference have been developed may not correspond to those followed in practice.ยน For example, the classical statistical approach to selecting a method of estimation generally involves minimizing an expected loss function, irrespective of the actual data. Yet in practice the properties of the realized data almost},
bookauthor = {Andrew W. Lo and A. Craig MacKinlay},
booktitle = {A Non-Random Walk Down Wall Street},
pages = {213--248},
publisher = {Princeton University Press},
title = {Data-Snooping Biases in Tests of Financial Asset Pricing Models},
year = {1999}
}