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

Christopher Baum and Jesus Otero

Statistical Software Components from Boston College Department of Economics

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).

Language: Stata
Requires: Stata version 14
Keywords: model confidence; forecasting; block bootstrap (search for similar items in EconPapers)
Date: 2026-08-10
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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http://fmwww.bc.edu/repec/bocode/m/mcset.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/m/mcset.sthlp help file (text/plain)

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