Model Selection Criteria in Multivariate Models with Multiple Structural Changes

Eiji Kurozumi () and Purevdorj Tuvaandorj

Global COE Hi-Stat Discussion Paper Series from Institute of Economic Research, Hitotsubashi University

Abstract: This paper considers the issue of selecting the number of regressors and the number of structural breaks in multivariate regression models in the possible presence of mul- tiple structural changes. We develop a modified Akaike's information criterion (AIC), a modified Mallows' Cp criterion and a modified Bayesian information criterion (BIC). The penalty terms in these criteria are shown to be different from the usual terms. We prove that the modified BIC consistently selects the regressors and the number of breaks whereas the modified AIC and the modified Cp criterion tend to overly choose them with positive probability. The finite sample performance of these criteria is investigated through Monte Carlo simulations and it turns out that our modification is successful in comparison to the classical model selection criteria and the sequential testing procedure with the robust method.

Keywords: structural breaks; AIC; Mallows' Cp; BIC; information criteria (search for similar items in EconPapers)
JEL-codes: C13 C32 (search for similar items in EconPapers)
Date: 2010-06
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (1)

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Journal Article: Model selection criteria in multivariate models with multiple structural changes (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:hst:ghsdps:gd10-144

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