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14-010/IV - Testing for Parameter Instability in Competing Modeling Frameworks

  • Authors
    Francesco Calvori, Department of Statistics 'G. Parenti', University of Florence, Italy; Drew Creal, Booth School of Business, University of Chicago; Siem Jan Koopman, VU University Amsterdam; Andre Lucas, VU University Amsterdam
  • Publication date
    January 14, 2014
  • Keywords
    time-varying parameters; observation driven models; parameter driven models; structural breaks; generalized autoregressive score model; regime switching; credit risk
  • JEL
    C12, C52, C22