A fast algorithm for finding the confidence set of large collections of models
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References listed on IDEAS
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More about this item
KeywordsModel selection; model confidence set; bootstrapped statistics;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2015-10-10 (All new papers)
- NEP-ECM-2015-10-10 (Econometrics)
- NEP-FOR-2015-10-10 (Forecasting)
- NEP-ORE-2015-10-10 (Operations Research)
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