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Spuriousness of information criteria when selecting the number of breaks in stationary AR(p) process

Author

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  • 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)

  • Mohamed BOUTAHAR

    (GREQAM and Faculté des Sciences, Université de la Méditerranée, France)

Abstract

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.

Suggested Citation

  • 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.
    • Handle: RePEc:ebl:ecbull:eb-07c20014
    as

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    References listed on IDEAS

    as
    1. Jushan Bai & Pierre Perron, 1998. "Estimating and Testing Linear Models with Multiple Structural Changes," Econometrica, Econometric Society, vol. 66(1), pages 47-78, January.
    2. repec:ebl:ecbull:v:3:y:2007:i:3:p:1-10 is not listed on IDEAS
    3. Jamel JOUINI & Mohamed BOUTAHAR, 2007. "wrong estimation of the true number of shifts in structural break models: Theoretical and numerical evidence," Economics Bulletin, AccessEcon, vol. 3(3), pages 1-10.
    4. Jouini, Jamel & Boutahar, Mohamed, 2005. "Evidence on structural changes in U.S. time series," Economic Modelling, Elsevier, vol. 22(3), pages 391-422, May.
    5. Nunes, Luis C. & Newbold, Paul & Chung-Ming Kuan, 1996. "Spurious number of breaks," Economics Letters, Elsevier, vol. 50(2), pages 175-178, February.
    6. Yao, Yi-Ching, 1988. "Estimating the number of change-points via Schwarz' criterion," Statistics & Probability Letters, Elsevier, vol. 6(3), pages 181-189, February.
    7. Bai, Jushan, 1998. "A Note On Spurious Break," Econometric Theory, Cambridge University Press, vol. 14(5), pages 663-669, October.
    8. Jushan Bai & Pierre Perron, 2003. "Computation and analysis of multiple structural change models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 1-22.
    9. Perron, Pierre, 2020. "L'estimation de modèles avec changements structurels multiples," L'Actualité Economique, Société Canadienne de Science Economique, vol. 96(4), pages 789-837, Décembre.
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    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables

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