MULCOM 1.00, an Oxtm Software Package for Multiple Comparisons

PETER REINHARD HANSEN
Department of Economics, Stanford University,
Landau Economics Building, 579 Serra Mall,
Stanford, CA 94305-6072, USA

ASGER LUNDE
Department of Marketing and Statistics,
Aarhus School of Business, University of Aarhus
Fuglesangs Alle 4, DK-8210 Aarhus V, Denmark

 

Download code, documentation and example programs

 

Reference literature

  • Hansen, P. R. (2005), ‘A test for superior predictive ability’, Journal of Business and Economic Statistics 23, 365–380. Download WP version

  • Hansen, P. R., Lunde, A. and Nason, J. M. (2003), ‘Choosing the best volatility models: The model confidence set approach’, Oxford Bulletin of Economics and Statistics 65, 839–861. Download WP version

  • Hansen, P. R., Lunde, A. and Nason, J. M. (2004), ‘Model confidence sets for forecasting models’. Unpublished manuscript. Download