EconStor >
Institute for Fiscal Studies (IFS), London >
cemmap working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (IFS) >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/64667
  
Title:Model comparisons in unstable environments PDF Logo
Authors:Giacomini, Raffaella
Rossi, Barbara
Issue Date:2012
Series/Report no.:cemmap working paper CWP13/12
Abstract:The goal of this paper is to develop formal tests to evaluate the relative in-sample performance of two competing, misspecified non-nested models in the presence of possible data instability. Compared to previous approaches to model selection, which are based on measures of global performance, we focus on the local relative performance of the models. We propose three tests that are based on different measures of local performance and that correspond to different null and alternative hypotheses. The empirical application provides insights into the time variation in the performance of a representative DSGE model of the European economy relative to that of VARs.
Subjects:Model Selection Tests
Misspecification
Structural Change
Kullback-Leibler Information Criterion
JEL:C22
C52
C53
Persistent Identifier of the first edition:doi:10.1920/wp.cem.2012.1312
Document Type:Working Paper
Appears in Collections:cemmap working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (IFS)

Files in This Item:
File Description SizeFormat
71866860X.pdf549.07 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/64667

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.