wrong estimation of the true number of shifts in structural break models: Theoretical and numerical evidence
AbstractThe aim of the paper is to consider the problem of selecting the number of breaks in the mean of a time series. Indeed, we prove analytically and show by a Monte Carlo study that some model selection criteria will tend to choose a spuriously high number of structural breaks when the process is trend-stationary without changes. The important question suggested by our results is that of distinction between trend-stationary process and random walk when modelling real data series.
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Bibliographic InfoArticle provided by AccessEcon in its journal Economics Bulletin.
Volume (Year): 3 (2007)
Issue (Month): 3 ()
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- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
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Cahiers de recherche
9552, Universite de Montreal, Departement de sciences economiques.
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- Yao, Yi-Ching, 1988. "Estimating the number of change-points via Schwarz' criterion," Statistics & Probability Letters, Elsevier, vol. 6(3), pages 181-189, February.
- Bai, Jushan, 1998. "A Note On Spurious Break," Econometric Theory, Cambridge University Press, vol. 14(05), pages 663-669, October.
- Jamel JOUINI & Mohamed BOUTAHAR, 2007. "Spuriousness of information criteria when selecting the number of breaks in stationary AR(p) process," Economics Bulletin, AccessEcon, vol. 3(38), pages 1-11.
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