Mohamed BOUTAHAR () (GREQAM and Faculté des Sciences, Université de la Méditerranée, France) Jamel JOUINI () (F.S.E.G.N., E.S.S.A.I.T. and L.E.G.I., Université 7 Novembre de Carthage, Tunisie, GREQAM, Université de la Méditerranée, France)
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This note proves analytically and shows by a Monte Carlo analysis the spuriousness that arises by some model selection criteria when selecting the number of breaks in stationary AR(p) process without changes for a regression with mean-shifts. This brings a theoretical support to the Perron's (1997) simulation results which indicate that this phenomenon occurs for an AR(1) process.
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Article provided by Economics Bulletin in its journal Economics Bulletin.
Volume (Year): 3 (2007) Issue (Month): 38 () Pages: 1-11 Download reference. The following formats are available: HTML,
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Handle: RePEc:ebl:ecbull:v:3:y:2007:i:38:p:1-11
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