IDEAS home Printed from https://ideas.repec.org/p/igi/igierp/159.html
   My bibliography  Save this paper

Model Selection for Non-Linear Dynamic Models

Author

Listed:
  • Massimiliano Marcellino

Abstract

This paper develops tests for selection of competing non-linear dynamic models. The null hypothesis is that the models are equally close the Data Generating Process (DGP), according to a certain measure of closeness. The alternative is that one model is closer to the DGP. The models can be non-nested, overlapping, or nested. They can be correctly specified or not. Their parameters can be estimated by a variety of methods, including Maximum Likelihood, Non-Linear Least Squares, Method of Moments, where the choice depends on the selected measure of closeness to the DGP. The tests are symmetric and directional. Their asymptotic distribution under the null is either normal or a weighted sum of chi-square distributions, depending on the nesting characteristics of the competing models. The comparison of ARMAX and STAR models, and of nested ARMAX-GARCH models are discussed as examples.

Suggested Citation

  • Massimiliano Marcellino, "undated". "Model Selection for Non-Linear Dynamic Models," Working Papers 159, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    • Handle: RePEc:igi:igierp:159
    as

    Download full text from publisher

    File URL: https://repec.unibocconi.it/igier/igi/wp/1999/159.pdf
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. In-Koo Cho & Kenneth Kasa, 2015. "Learning and Model Validation," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 82(1), pages 45-82.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:igi:igierp:159. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: http://www.igier.unibocconi.it/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.