Large-scale model comparison with fast model confidence sets

DOI10.1016/J.JECONOM.2025.106123MaRDI QIDQ6856903zbMATH OpenFDO

Authors Sylvain Barde

Publication date 18 February 2026

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JECONOM.2025.106123

zbMATH Keywords

bootstrapped statisticsmodel confidence setmodel selection

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• A Reality Check for Data Snooping
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• Confidence sets for model selection by F -testing
• Density Forecasting with Time‐Varying Higher Moments: A Model Confidence Set Approach
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• On loss functions and ranking forecasting performances of multivariate volatility models
• Prediction of cryptocurrency returns using machine learning
• Risk Measure Inference
• Robust ranking of multivariate GARCH models by problem dimension
• Short-run electricity load forecasting with combinations of stationary wavelet transforms
• Structural combination of seasonal exponential smoothing forecasts applied to load forecasting
• The Model Confidence Set
• The Stationary Bootstrap
• Volatility forecast comparison using imperfect volatility proxies

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