wrong estimation of the true number of shifts in structural break models: Theoretical and numerical evidence

Jamel Jouini () and Mohamed Boutahar

Economics Bulletin, 2007, vol. 3, issue 3, 1-10

Abstract: The 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.

Keywords: Model; selection (search for similar items in EconPapers)
JEL-codes: C2 (search for similar items in EconPapers)
Date: 2007-01-10
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Citations: View citations in EconPapers (3)

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