Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/64667
Authors: 
Giacomini, Raffaella
Rossi, Barbara
Year of Publication: 
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: 
Document Type: 
Working Paper

Files in This Item:
File
Size
549.07 kB





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