Browsing Duke Faculty Scholarship by Subject "Parameter instability"

Now showing items 1-2 of 2

Are Exchange Rates Really Random Walks? Some Evidence Robust To Parameter Instability

Rossi, Barbara (Macroeconomic Dynamics, 2006-02)

Many authors have documented that it is challenging to explain exchange rate fluctuations with macroeconomic fundamentals: a random walk forecasts future exchange rates better than existing macroeconomic models. This paper ...
Optimal Tests For Nested Model Selection With Underlying Parameter Instability

Rossi, Barbara (Econometric Theory, 2005-10)

This paper develops optimal tests for model selection between two nested models in the presence of underlying parameter instability. These are joint tests for both parameter instability and a null hypothesis on (a subset ...