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dc.contributor.authorGiacomini, Raffaellaen
dc.contributor.authorRossi, Barbaraen
dc.date.accessioned2012-07-03-
dc.date.accessioned2012-10-16T13:08:29Z-
dc.date.available2012-10-16T13:08:29Z-
dc.date.issued2012-
dc.identifier.pidoi:10.1920/wp.cem.2012.1312en
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
dc.language.isoengen
dc.publisher|aCentre for Microdata Methods and Practice (cemmap) |cLondonen
dc.relation.ispartofseries|acemmap working paper |xCWP13/12en
dc.subject.jelC22en
dc.subject.jelC52en
dc.subject.jelC53en
dc.subject.ddc330en
dc.subject.keywordModel Selection Testsen
dc.subject.keywordMisspecificationen
dc.subject.keywordStructural Changeen
dc.subject.keywordKullback-Leibler Information Criterionen
dc.titleModel comparisons in unstable environments-
dc.typeWorking Paperen
dc.identifier.ppn71866860Xen
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:ifs:cemmap:13/12en

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