• Graduate program
  • Research
  • Summer School
  • Events
    • Summer School
      • Applied Public Policy Evaluation
      • Economics of Blockchain and Digital Currencies
      • Economics of Climate Change
      • Foundations of Machine Learning with Applications in Python
      • From preference to choice: The Economic Theory of Decision-Making
      • Gender in Society
      • Business Data Science Summer School Program
    • Events Calendar
    • Events Archive
    • Tinbergen Institute Lectures
    • 16th Tinbergen Institute Annual Conference
    • Annual Tinbergen Institute Conference
  • News
  • Alumni
  • Magazine

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
Download here