Model comparisons in unstable environments

Raffaella Giacomini () and Barbara Rossi

Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra

Abstract: The goal of this paper is to develop formal tests to evaluate the relative in-sample per- formance 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.

Keywords: Model Selection Tests; Misspeci.cation; Structural Change; Kullback-Leibler Information Criterion (search for similar items in EconPapers)
JEL-codes: C22 C52 C53 (search for similar items in EconPapers)
Date: 2014-08, Revised 2015-01
New Economics Papers: this item is included in nep-dge, nep-ecm and nep-ger
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Related works:
Journal Article: MODEL COMPARISONS IN UNSTABLE ENVIRONMENTS (2016)
Working Paper: Model Comparisons in Unstable Environments (2015)
Working Paper: Model comparisons in unstable environments (2012)
Working Paper: Model Comparisons in Unstable Environments (2010)
Working Paper: Model Comparisons in Unstable Environments (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:upf:upfgen:1437

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