Code for various data snooping tests on financial time series.
The data snooping tests are
a) WhiteRealityCheck.m
b) PolitisRomanoBootstrap.m
c) mc_boot_single.m
d) position_vector_permutation_test.cc
e) opt_block_length_REV_dec07.m
and two statistical tests
f) fdr_bh.m
g) granger_cause.m
a, b, e ,f and g above were downloaded by me sometime over the last few years, and at the time of download they were freely available with no restrictions.
c and d were written by me. c is a very simple implementation of White's Reality check for a single test. d is an Octave .Oct implementation of the permutation test as detailed in
http://eu.wiley.com/WileyCDA/WileyTitle/productCd-0470008741.html
Another code source is the archived ttrTests package at
http://cran.r-project.org/src/contrib/Archive/ttrTests/
Also included are various papers on the subject of data snooping.