The Model Confidence Set (Q153516)

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scientific article
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The Model Confidence Set
scientific article

    Statements

    published in
    Econometrica
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    volume
    79
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    issue
    2
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    page(s)
    453-497
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    publication date
    2011
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    27 April 2011
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    title
    The Model Confidence Set (English)
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    author
    Peter Reinhard Hansen
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    Asger Lunde
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    James M. Nason
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    zbMATH Keywords
    model confidence set
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    model selection
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    forecasting
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    multiple comparisons
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    describes a project that uses
    MCS
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    MCSprocedure
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    Identifiers

    DOI
    10.3982/ecta5771
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    Mathematics Subject Classification ID
    62F25
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    62P05
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    65C60
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    62P20
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    zbMATH DE Number
    5881554
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