Last data update: 2014.03.03
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R: Model Confidence Set Test
Model Confidence Set Test
Description
Implements the Model Confidence Set Test procedure of Hansen, Lunde and
Usage
mcsTest(losses, alpha, nboot = 100, nblock = 1, boot = c("stationary", "block"))
Arguments
losses |
A matrix of losses from competing models.
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alpha |
The p-value used in the test.
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nboot |
The number of bootstrap replications.
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nblock |
The block length to use in the bootstrap.
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boot |
A choice of either the stationary or block boostrap.
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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.
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pvalsR |
The final p-values of each model under the R statistic.
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excludedR |
The excluded models based on the R statistic.
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includedSQ |
The models included based on the SQ statistic.
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pvalsSQ |
The final p-values of each model under the SQ statistic.
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excludedSQ |
The excluded models based on the SQ statistic.
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Author(s)
Alexios Ghalanos
References
Hansen, P. R., Lunde, A., and Nason, J. M., 2011. The model confidence set.
Econometrica, 79(2), 453–497.
Results
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