In an important class of econometric problems, researchers select a target parameter by maximizing the Euclidean norm of a data-dependent vector. Examples that can be cast into this frame include threshold regression models with estimated thresholds and structural break models with estimated...

In an important class of econometric problems, researchers select a target parameter by maximizing the Euclidean norm of a data-dependent vector. Examples that can be cast into this frame include threshold regression models with estimated thresholds, and structural break models with estimated...

The goal of this paper is to develop formal techniques for analyzing the relative in-sample performance of two competing, misspecified models in the presence of possible data instability. The central idea of our methodology is to propose a measure of the models' local relative performance: the...