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

Mohamed Boutahar and Jamel Jouini
Economics bulletin, Vol.3(38), pp.1-11
31/08/2007

Abstract

Business & Economics Economics Social Sciences
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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