MODEL COMPARISONS IN UNSTABLE ENVIRONMENTS

• 成果类型: Article
• 署名作者: Giacomini, Raffaella; Rossi, Barbara
• 署名单位: University of London; University College London; ICREA; Pompeu Fabra University; Barcelona School of Economics; Centre de Recerca en Economia Internacional (CREI)
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/iere.12161
• 发表日期: 2016
• 页码: 369-391
• 关键词: consistent covariance-matrix; parameter instability; optimal tests; time-series; heteroskedasticity; selection

摘要

The goal of this article is to develop formal tests to evaluate the relative in-sample performance of two competing, misspecified, nonnested 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 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 Euro-area Dynamic Stochastic General Equilibrium model relative to that of VARs.