The Model Confidence Set

• 成果类型: Article
• 署名作者: Hansen, Peter R.; Lunde, Asger; Nason, James M.
• 署名单位: Stanford University; Aarhus University; Federal Reserve System - USA; Federal Reserve Bank - Philadelphia
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA5771
• 发表日期: 2011
• 页码: 453-497
• 关键词: monetary-policy; business cycles; exchange-rates; ERROR RATE; tests; selection; heteroskedasticity; INFORMATION; filters; nairu

摘要

This paper introduces the model confidence set (MCS) and applies it to the selection of models. A MCS is a set of models that is constructed such that it will contain the best model with a given level of confidence. The MCS is in this sense analogous to a confidence interval for a parameter. The MCS acknowledges the limitations of the data, such that uninformative data yield a MCS with many models, whereas informative data yield a MCS with only a few models. The MCS procedure does not assume that a particular model is the true model; in fact, the MCS procedure can be used to compare more general objects, beyond the comparison of models. We apply the MCS procedure to two empirical problems. First, we revisit the inflation forecasting problem posed by Stock and Watson (1999), and compute the MCS for their set of inflation forecasts. Second, we compare a number of Taylor rule regressions and determine the MCS of the best regression in terms of in-sample likelihood criteria.