Raffaella Giacomini came to UCL from a position at UCLA in summer 2007. Her recent research focuses on: Predictive Ability Testing, Forecast Evaluation, Forecasting in a Changing Economy, Model Selection, Density and Quantile Forecasting. She works at the Centre for Microdata Methods and Practice (cemmap).
Education
PhD Economics, University of California, San Diego, 2003
BSc (cum Laude) Economics and Statistics, Universita’ di Bologna, 1998
BSc (cum Laude) Mathematics, Universita’ di Bologna, 1994
This chapter reviews the literature on the econometric relationship between DSGE and VAR models from the point of view of estimation and model validation.
The goal of this paper is to develop formal tests to evaluate the relative in-sample performance of two competing, misspeci ed non-nested models in the presence of possible data instability
We analyze fast procedures for conducting Monte Carlo experiments involving bootstrap estimators, providing formal results establishing the properties of these methods under general conditions.
