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

Mohamed Boutahar and Jamel Jouini
Economics bulletin, Vol.3(3), pp.1-10
10/01/2007

Abstract

Business & Economics Economics Social Sciences
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.

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