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