MCS (Q33066)
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Model Confidence Set Procedure
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | MCS |
Model Confidence Set Procedure |
Statements
19 October 2026
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Implements the Model Confidence Set procedure of Hansen, Lunde and Nason (2011) <doi:10.3982/ECTA5771> using bootstrap tests of equal predictive ability. Includes loss functions for level, volatility and quantile forecasts.
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Identifiers
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