MCS: Model Confidence Set Procedure
Implements the Model Confidence Set procedure of Hansen, Lunde and Nason (2011) <doi:10.3982/ECTA5771> using bootstrap tests of equal predictive ability. Includes loss functions for level, volatility and quantile forecasts.
| Version: | 0.2.1 |
| Depends: | R (≥ 3.0.1) |
| Imports: | methods, stats |
| Published: | 2026-10-19 |
| DOI: | 10.32614/CRAN.package.MCS |
| Author: | Leopoldo Catania 
[aut, cre] |
| Maintainer: | Leopoldo Catania <leopoldo.catania at econ.au.dk> |
| License: | GPL-2 |
| NeedsCompilation: | no |
| Materials: | ChangeLog |
| CRAN checks: | MCS results |
Documentation:
| Reference manual: | MCS.html , MCS.pdf |
Downloads:
| Package source: | MCS_0.2.1.tar.gz |
| Windows binaries: | r-devel: MCS_0.2.0.zip, r-release: MCS_0.2.0.zip, r-oldrel: MCS_0.2.0.zip |
| macOS binaries: | r-release (arm64): not available, r-oldrel (arm64): not available, r-release (x86_64): MCS_0.2.1.tgz, r-oldrel (x86_64): MCS_0.2.1.tgz |
| Old sources: | MCS archive |
Reverse dependencies:
| Reverse imports: | EEML |
| Reverse suggests: | BigVAR, sentometrics |
Linking:
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