Giacomini, RaffaellaRossi, Barbara, 1971-Universitat Pompeu Fabra. Departament d'Economia i Empresa2017-07-262017-07-262014-08-01International Economic Review, 57(2), 335-756, May 2016http://hdl.handle.net/10230/22663The 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.application/pdfengL'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commonsinfo:eu-repo/semantics/workingPapermodel selection testsmisspeci.cationstructural changekullback-leibler information criterionMacroeconomics and International Economicsinfo:eu-repo/semantics/openAccess