Paper #1437

Títol:

Model comparisons in unstable environments

Autors:

Raffaella Giacomini i Barbara Rossi

Data:

Agost 2014

Resum:

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.

Paraules clau:

Model Selection Tests, Misspeci.cation, Structural Change, Kullback-Leibler Information Criterion

Codis JEL:

C22, C52, C53

Àrea de Recerca:

Macroeconomia i Economia Internacional

Publicat a:

International Economic Review, 57(2), 335-756, May 2016

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