Implements the Model Confidence Set Test procedure of Hansen, Lunde and

`mcsTest(losses, alpha, nboot = 100, nblock = 1, boot = c("stationary", "block"))`

losses

A matrix of losses from competing models.

alpha

The p-value used in the test.

nboot

The number of bootstrap replications.

nblock

The block length to use in the bootstrap.

boot

A choice of either the stationary or block boostrap.

A list with the following items:

The models included based on the R statistic.

The final p-values of each model under the R statistic.

The excluded models based on the R statistic.

The models included based on the SQ statistic.

The final p-values of each model under the SQ statistic.

The excluded models based on the SQ statistic.

Calculates and returns the results of both the R (range) and SQ (semi-quadratic) statistics.

Hansen, P. R., Lunde, A., and Nason, J. M., 2011. The model confidence set.
*Econometrica*, **79(2)**, 453--497.