The Model Confidence Set ∗
By P. R. Hansen, Asger Lunde, James M. Nason. 2009
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
- Stavros Degiannakis *
- George Filis
- Jakub Nowotarski
- S. J. Koopman
- Rafal Weron
- Hossein Hassani
- Marcel Scharth
- Feng Maa
Citations in the corpus
- Forward stability and model path selection (2021, neutral): “Finally,aspointedoutinLei (2020), without a priori size or complexity restrictions, the procedures in Hansen et al. (2011), Ferrari and Yang (2015), and Jiang et al. (2008) will always produce a set of models M ∗ that contains the fully saturated model with all available covariates.”
- Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2015, unknown): “Email: andrew.patton@duke.edu.”
- Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models (2016, unknown): “The model confidence sets are proposed by Hansen et al. (2011), and their construction in our study is detailed in the online appendix.”
- Distribution Theory of the Least Squares Averaging Estimator (2013, unknown): “Hansen, Lunde, and Nason (2011) propose the model confidence set, which is constructed based on an equivalence test.”