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,...

This review provides an overview of forecasting methods that can help researchers forecast in the presence of non-stationarities caused by instabilities. The emphasis of the review is both theoretical and applied, and provides several examples of interest to economists. We show that modeling...