A statewise extension of the Model Confidence Set is proposed and shown to be asymptotically valid, selecting best forecasting methods per economic regime.
Regarding notation, δM = 0 refers to the case when H l 0,M cannot be rejected, and δM = 1 refers to the case when it is rejected
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Conditional Method Confidence Set
A statewise extension of the Model Confidence Set is proposed and shown to be asymptotically valid, selecting best forecasting methods per economic regime.