MODEL COMPARISONS IN UNSTABLE ENVIRONMENTS

DOI10.1111/iere.12161zbMath1404.91188OpenAlexW1587864457MaRDI QIDQ2812302

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)

Related Items (1)

The dynamics of hours worked and technology

Cites Work

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

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