Not true, although I understand your leap. The simple case, 25 vars could all be fixed, so just one test. More reasonable, some vars might have...
Thanks; just looked quickly; definitely worth exploring.
My background: 1. Full-time trader, mostly futures, for 30+ years; 2. Managed money in futures, 20 years ago, as CTA, using proprietary software...
Very old argument: In sample & out-of-sample data. Meaningless distinguish, IMO.
Seriously? QE - U.S, Europe, Japan
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