Model Confidence Set Test

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Description

Implements the Model Confidence Set Test procedure of Hansen, Lunde and

Usage

1
mcsTest(losses, alpha, nboot = 100, nblock = 1, boot = c("stationary", "block"))

Arguments

losses

A matrix of losses from competing models.

alpha

The p-value used in the test.

nboot

The number of bootstrap replications.

nblock

The block length to use in the bootstrap.

boot

A choice of either the stationary or block boostrap.

Details

Calculates and returns the results of both the R (range) and SQ (semi-quadratic) statistics.

Value

A list with the following items:

includedR

The models included based on the R statistic.

pvalsR

The final p-values of each model under the R statistic.

excludedR

The excluded models based on the R statistic.

includedSQ

The models included based on the SQ statistic.

pvalsSQ

The final p-values of each model under the SQ statistic.

excludedSQ

The excluded models based on the SQ statistic.

Author(s)

Alexios Ghalanos

References

Hansen, P. R., Lunde, A., and Nason, J. M., 2011. The model confidence set. Econometrica, 79(2), 453–497.

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