Model comparisons in unstable environments

Arbeitspapier

The goal of this paper is to develop formal tests to evaluate the relative in-sample performance 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.

Objekt anzeigen

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: cemmap working paper ; No. CWP13/12

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Model Evaluation, Validation, and Selection ; Forecasting Models; Simulation Methods
• Thema: Model Selection Tests ; Misspecification ; Structural Change ; Kullback-Leibler Information Criterion

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Giacomini, Raffaella ; Rossi, Barbara
• Ereignis: Veröffentlichung
• (wer): Centre for Microdata Methods and Practice (cemmap)
• (wo): London
• (wann): 2012

Weitere Informationen

• DOI: doi:10.1920/wp.cem.2012.1312
• Handle: http://hdl.handle.net/10419/64667