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dc.contributor.authorGiacomini, Raffaellaen_US
dc.contributor.authorRossi, Barbaraen_US
dc.date.accessioned2012-07-03en_US
dc.date.accessioned2012-10-16T13:08:29Z-
dc.date.available2012-10-16T13:08:29Z-
dc.date.issued2012en_US
dc.identifier.pidoi:10.1920/wp.cem.2012.1312en_US
dc.identifier.urihttp://hdl.handle.net/10419/64667-
dc.description.abstractThe 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.en_US
dc.language.isoengen_US
dc.publisherCentre for Microdata Methods and Practice Londonen_US
dc.relation.ispartofseriescemmap working paper CWP13/12en_US
dc.subject.jelC22en_US
dc.subject.jelC52en_US
dc.subject.jelC53en_US
dc.subject.ddc330en_US
dc.subject.keywordModel Selection Testsen_US
dc.subject.keywordMisspecificationen_US
dc.subject.keywordStructural Changeen_US
dc.subject.keywordKullback-Leibler Information Criterionen_US
dc.titleModel comparisons in unstable environmentsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn71866860Xen_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:cemmap working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (IFS)

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