MULCOM 3.00, an Oxtm Software Package for Multiple Comparisons

PETER REINHARD HANSEN
European University Institute, Florence, Italy

ASGER LUNDE
University of Aarhus, Aarhus, Denmark

Both are affiliated with CREATES

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. (2011), ‘The Model confidence set’,  Econometrica 79, 453-497. Download WP version

·         Hansen, P. R., Lunde, A. and Nason, J. M. (2014), ‘Corrigendum to “The Model Confidence Set”’. Download