Model Confidence Set Test
Implements the Model Confidence Set Test procedure of Hansen, Lunde and
mcsTest(losses, alpha, nboot = 100, nblock = 1, boot = c("stationary", "block"))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.
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