Model comparisons in unstable environments
Mostra el registre complet Registre parcial de l'ítem
- dc.contributor.author Giacomini, Raffaellaca
- dc.contributor.author Rossi, Barbara, 1971-ca
- dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
- dc.date.accessioned 2017-07-26T10:50:38Z
- dc.date.available 2017-07-26T10:50:38Z
- dc.date.issued 2014-08-01
- dc.date.modified 2017-07-23T02:16:24Z
- dc.description.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.
- dc.format.mimetype application/pdfca
- dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=1437
- dc.identifier.citation International Economic Review, 57(2), 335-756, May 2016
- dc.identifier.uri http://hdl.handle.net/10230/22663
- dc.language.iso eng
- dc.relation.ispartofseries Economics and Business Working Papers Series; 1437
- dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
- dc.rights.accessRights info:eu-repo/semantics/openAccess
- dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
- dc.subject.keyword model selection tests
- dc.subject.keyword misspeci.cation
- dc.subject.keyword structural change
- dc.subject.keyword kullback-leibler information criterion
- dc.subject.keyword Macroeconomics and International Economics
- dc.title Model comparisons in unstable environmentsca
- dc.type info:eu-repo/semantics/workingPaper