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Persistent link: https://www.econbiz.de/10003730895
"The paper introduces the model confidence set (MCS) and applies it to the selection of forecasting models. An MCS is a set of models that is constructed so that it will contain the "best" forecasting model, given a level of confidence. Thus, an MCS is analogous to a confidence interval for a...
Persistent link: https://www.econbiz.de/10002913539