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By creating the data-generating process used in the simulation model, we can also partition profiling error into error resulting from random sampling variability and from missing data, which is impossible given an unknown data generating process.
Furthermore, with the exceptions of Tsay (1997) and Caner and Hansen (2001), many of the above mentioned studies have ignored the existence of frictions, regulations, transaction costs and broken deterministic trends as structural changes that might cause the data generating process of the unemployment rate to display nonlinear behavior in its course of path to the long run equilibrium.
By analogy with the approach introduced by Vuong , our tests are testing the null hypothesis that the competing models are as close to the data generating process (DGP) where closeness of a model is measured according to the discrepancy implicit in the [empty set]-Divergence type statistics.