/mostly-true

Benjamini-Hochberg style FDR estimates under publication bias

Primary LanguageRGNU General Public License v3.0GPL-3.0

mostly-true

Code to accompany "Most claimed statistical findings in cross-sectional return predictability are likely true"

Code performs non- and semi-parametric FDR estimates a la Benjamini-Hochberg-Storey on the anomaly zoo, as well as simulation verifications.