MCS (version 0.1.3)

MCS-package: Model Confidence Set procedure

Description

Perform the Model Confidence Set procedure of Hansen et.al (2011) for a given set of loss series belonging to several different models that should be compared

Details

Package:	MCS
Type:	Package
Version:	0.1.3
Date:	2014-07-27
License:	GPL-2

The R package MCS aims to implement the Model Confidence Set (MCS) procedure recently developed by Hansen et al. (2011). The Hansen's procedure consists on a sequence of tests which permits to construct a set of 'superior' models, where the null hypothesis of Equal Predictive Ability (EPA) is not rejected at a certain confidence level. The EPA statistic tests is calculated for an arbitrary loss function, meaning that we could test models on various aspects, for example punctual forecasts.

References

Hansen PR, Lunde A, Nason JM (2011). The model confidence set. Econometrica, 79(2), 453-497. Bernardi M. and Catania L. (2014) The Model Confidence Set package for R. URL http://arxiv.org/abs/1410.8504

Examples

# NOT RUN {
library(MCS)
data(Loss)
MCS <- MCSprocedure(Loss=Loss[,1:5],alpha=0.2,B=5000,statistic='Tmax',cl=NULL)
# }