Construct · 1 fields · 1 citations

model confidence set: a standalone construct

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Econometrics

a set of models that contains the best model with a given confidence, built by repeatedly testing equal predictive ability and dropping the worst.

In econometrics, model confidence set refers to a set of models that contains the best model with a given confidence, built by repeatedly testing equal predictive ability and dropping the worst. This meaning comes from Hansen, Lunde and Nason (2011) in Econometrica.[1]

Unit
Recovery means
Measured by

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Nearby constructs

confidence4 fields · 5 citationsjingle · one word, four constructs model3 fields · 3 citationsjingle · one word, three constructs

References

Hansen, P. R., Lunde, A., & Nason, J. M. (2011). The Model Confidence Set. Econometrica, 79(2), 453-497. https://doi.org/10.3982/ecta5771

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