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MCSET: Stata module to construct the Model Confidence Set (MCS)

Author

Listed:
  • Christopher F Baum

    (Boston College)

  • Jesús Otero

    (Universidad del Rosario)

Programming Language

Abstract

The mcset command implements the Model Confidence Set (MCS) procedure of Hansen, Lunde, and Nason (2011), which provides a formal way to ask which forecasting models are statistically distinguishable from the best-performing alternatives. The main output of the procedure is not a single “winner”, but a set of models that cannot be rejected as having superior predictive ability at a chosen confidence level. The algorithm is based on the implementation in R provided by Catania (2026), first described by Bernardi and Catania (2014) and the block bootstrap schemes of Baum and Otero (forthcoming).

Suggested Citation

  • Christopher F Baum & Jesús Otero, 2026. "MCSET: Stata module to construct the Model Confidence Set (MCS)," Statistical Software Components S459855, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459855
    Note: This module should be installed from within Stata by typing "ssc install mcset". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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    File URL: http://fmwww.bc.edu/repec/bocode/m/mcset.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/m/mcset.sthlp
    File Function: help file
    Download Restriction: no
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