Implements the Model Confidence Set procedure of Hansen, Lunde and Nason (2011) using bootstrap tests of equal predictive ability. Includes loss functions for level, volatility and quantile forecasts.
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0.2.1 by Leopoldo Catania, 7 days ago
Browse source code at https://github.com/cran/MCS
Authors: Leopoldo Catania [aut, cre] (ORCID:
Documentation: PDF Manual
GPL-2 license
Imports methods, stats
Imported by EEML.
Suggested by BigVAR, sentometrics.
See at CRAN