Hansen, Peter R.; Lunde, Asger; Nason, James M. - School of Economics and Management, University of Aarhus - 2010
The paper introduces the model confidence set (MCS) and applies it to the selection of models. A MCS is a set of models that is constructed such that it will contain the best model with a given level of confidence. The MCS is in this sense analogous to a confidence interval for a parameter. The...
