Implements the Model Confidence Set Test procedure of Hansen, Lunde and
mcsTest(losses, alpha, nboot = 100, nblock = 1, boot = c("stationary", "block"))A list with the following items:
The models included based on the R statistic.
The final p-values of each model under the R statistic.
The excluded models based on the R statistic.
The models included based on the SQ statistic.
The final p-values of each model under the SQ statistic.
The excluded models based on the SQ statistic.
A matrix of losses from competing models.
The p-value used in the test.
The number of bootstrap replications.
The block length to use in the bootstrap.
A choice of either the stationary or block boostrap.
Alexios Ghalanos
Calculates and returns the results of both the R (range) and SQ (semi-quadratic) statistics.
Hansen, P. R., Lunde, A., and Nason, J. M., 2011. The model confidence set.
Econometrica, 79(2), 453--497.