Paper #1437

Título:

Model comparisons in unstable environments

Autores:

Raffaella Giacomini y Barbara Rossi

Data:

Agosto 2014

Resumen:

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.

Palabras clave:

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

Códigos JEL:

C22, C52, C53

Área de investigación:

Macroeconomía y Economía Internacional

Publicado en:

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

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