Model comparisons in unstable environments

DOI10.1111/IERE.12161MaRDI QIDQ2812302zbMATH OpenOpenAlexFDO

Authors Raffaella Giacomini, Barbara Rossi

Publication date 16 June 2016

Published in International Economic Review (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10230/22663

zbMATH Keywords

dynamic stochastic general equilibrium modelglobal performancepossible data instability

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Dynamic stochastic general equilibrium theory (91B51)

Recommendations

• Comparison of estimators in stable models.
• scientific article; zbMATH DE number 69445
• Heuristics of instability and stabilization in model selection
• Evaluating prediction uncertainty in simulation models
• scientific article; zbMATH DE number 4217084
• Stability Comparison of Estimators
• scientific article; zbMATH DE number 4045606
• Variability, vagueness and comparison methods for ecological models

Cites work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Comparing dynamic equilibrium models to data: a Bayesian approach
• Efficient estimation of the parameter path in unstable time series models
• Efficient Tests for General Persistent Time Variation in Regression Coefficients
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
• Model selection tests for nonlinear dynamic models
• OPTIMAL TESTS FOR NESTED MODEL SELECTION WITH UNDERLYING PARAMETER INSTABILITY
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• The Cusum Test with Ols Residuals

Cited in

(4)

• The dynamics of hours worked and technology
• Discrepancy risk model selection test theory for comparing possibly misspecified or nonnested models
• OPTIMAL TESTS FOR NESTED MODEL SELECTION WITH UNDERLYING PARAMETER INSTABILITY
• Competing Models

This page was built for publication: Model comparisons in unstable environments

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2812302)