OPTIMAL TESTS FOR NESTED MODEL SELECTION WITH UNDERLYING PARAMETER INSTABILITY

By Barbara Rossi. Econometric Theory, 2005

161 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/205e4d905ab91f4d4e803fe71fdbda027bf5a82b

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Citations in the corpus

ARE EXCHANGE RATES REALLY RANDOM WALKS? SOME EVIDENCE ROBUST TO PARAMETER INSTABILITY (2005, background): “Also, as in Stock and Watson (1996), we consider various possible values for λ (0.”
Detecting and Predicting Forecast Breakdowns (2009, methodology): “From a technical point of view, we use a similar asymptotic framework to that developed by West (1996), although we generalize it beyond the covariance stationarity assumptions in West (1996). This generalization is of separate theoretical interest in itself, and it is crucial in our framework becau”
Exchange Rate Predictability (2013, unknown): “On the other hand, Rossi (2005a) shows that the high persistence in exchange rates and fundamentals biases the estimation of the economic models, but not the random walk: when this bias outweighs the bene ts from exploiting economic predictors, the random walk forecasts 36 better.69 Her ndings show…”
Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns (2006, methodology): “The statistic in column (8) is used to test the null hypothesis that *TQLR 0β and 1β have constant values of zero against the one-sided (upper-tail) alternative hypothesis of nonzero 0β and 1β values for at least part of the sample using the critical values in Rossi (2005).”
Causal Change Detection in Possibly Integrated Systems: Revisiting the Money–Income Relationship* (2019, unknown): “These includes the Markov-switching Granger causality test of Psaradakis et al. (2005) and several tests proposed by Rossi (2005).”
Advances in Forecasting Under Instability (2012, unknown): “See for example Goyal and Welch (2008) for suggestive plots of time variation in sum of squared residuals of equity premium returns predictors, or the dramatic swings over time in the sign of the coe¢ cients in exchange rate models (Rossi, 2005).6 What should researchers do in such situations?”
Forecast comparisons in unstable environments (2010, background): “The Fluctuation test, on the other hand, does not require the researcher to 5This procedure is justi ed by the fact that the two components LM1 and LM2 are asymptotically independent see Rossi (2005b).”
How Stable is the Forecasting Performance of the Yield Curve for Output Growth (2006, methodology): “As discussed in Giacomini and Rossi (2005), the t-test on the constant ai can be interpreted as a test of unconditional forecast breakdown (i.e. the tm,n,s forecast breakdown test).”