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

Jamel Jouini () and Mohamed Boutahar

Economics Bulletin, 2007, vol. 3, issue 38, 1-11

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.

JEL-codes: C2 (search for similar items in EconPapers)
Date: 2007-08-31
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