The authors thank Joe Romano, Barbara Rossi, Jim Stock, Michael Wolf, and seminar participants at several institutions and the NBER Summer Institute for valuable comments, and Thomas Trimbur for sharing his code for the Baxter–King filter. The Ox language of Doornik (2006) was used to perform the calculations reported here. The first two authors are grateful for financial support from the Danish Research Agency, Grant 24-00-0363, and thank the Federal Reserve Bank of Atlanta for its support and hospitality during several visits. The views in this paper should not be attributed to either the Federal Reserve Bank of Philadelphia or the Federal Reserve System, or any of its staff. The Center for Research in Econometric Analysis of Time Series (CREATES) is a research center at Aarhus University funded by the Danish National Research Foundation.
The Model Confidence Set
Article first published online: 14 FEB 2011
© 2011 The Econometric Society
Volume 79, Issue 2, pages 453–497, March 2011
How to Cite
Hansen, P. R., Lunde, A. and Nason, J. M. (2011), The Model Confidence Set. Econometrica, 79: 453–497. doi: 10.3982/ECTA5771
- Issue published online: 14 FEB 2011
- Article first published online: 14 FEB 2011
- Manuscript received March, 2005; final revision received March, 2010.
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