Description Usage Arguments Details Value Author(s) References

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

1 |

`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. |

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

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. |

Alexios Ghalanos

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

rugarch documentation built on Oct. 9, 2017, 1:09 a.m.

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