estMCS.reg: Estimation of model confidence sets for linear regressions...

Description Usage Arguments Details Value Author(s) References See Also

Description

The function allows to estimate a model confidence set a la Hansen, Lunde and Nason (2011) for the case of linear regression models. A matrix is returned that lists the entered models with their likelihood, estimated efficient degrees of freedom, KLIC, BIC, AIC and the MCS p-values associated with each information criterion.

Usage

1
estMCS.reg(data, models, B = 1000, l = 2)

Arguments

data

A matrix containing the data set to be used.

models

A list with one entry for each model specifying in a numerical vector the columns of matrix data to be used in that model.

B

the number of bootstrap samples.

l

the block length used in the moving-block bootstrap.

Details

...

Value

...

Author(s)

Niels Aka

References

Hansen, P. R., Lunde, A., Nason, J. M. 2011. "The Model Confidence Set", Econometrica, 79(2), 453 - 497

See Also

estMCS, estMCS.quick


nielsaka/modelconf documentation built on May 9, 2019, 7:35 p.m.