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The model confidence set

Hansen, Peter Reinhard; Lunde, Asger; Nason, James Michael - 2010

Persistent link: https://www.econbiz.de/10008780026

Testing the significance of calendar effects

Hansen, Peter Reinhard (contributor); … - 2004

Persistent link: https://www.econbiz.de/10002583522

Consistent preordering with an estimated criterion function, with an application to the evaluation and comparison of volatility models

Hansen, Peter Reinhard (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001752573

Testing the significance of calendar effects

Hansen, Peter Reinhard (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001752590

Testing the significance of calendar effects

Hansen, Peter Reinhard (contributor); … - 2003 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10001732977

Consistent preordering with an estimated criterion function, with an application to evaluation and comparison of volatility models

Hansen, Peter Reinhard (contributor); … - 2003 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10001732980

The model confidence set

Hansen, Peter Reinhard; Lunde, Asger; Nason, James Michael - In: Econometrica : journal of the Econometric Society, an … 79 (2011) 2, pp. 453-497

Persistent link: https://www.econbiz.de/10009124290

The Model Confidence Set

Hansen, Peter Reinhard; Lunde, Asger; Nason, James M. - 2014

This paper introduces the model confidence set (MCS) and applies it to the selection of models. An MCS is a set of models that is constructed so 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...

Persistent link: https://www.econbiz.de/10014048585

A test for superior predictive ability

Hansen, Peter Reinhard - In: Journal of business & economic statistics : JBES ; a … 23 (2005) 4, pp. 365-380

Persistent link: https://www.econbiz.de/10003193404

An unbiased and powerful test for superior predictive ability

Hansen, Peter Reinhard (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001576446