The goal of this paper is to develop formal tests to evaluate the relative in-sample performance of two competing, misspecified, non-nested models in the presence of possible data instability. Compared to previous approaches to model selection, which are based on measures of global performance,...

We propose a data-based extremum formulation that extends theempirical-likelihood and information-theoretic methods of estimation andinference. It is demonstrated how this method may be used in a general linearmodel context to mitigate the problem of an ill-conditioned design matrix. Adual loss...