|
| |
| Jamel JOUINI and Mohamed BOUTAHAR |
| |
| ''Spuriousness of information criteria when selecting the number of breaks in stationary AR(p) process'' |
| ( 2007, Vol. 3 No.38 ) |
| |
| |
| 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. |
| |
| |
| Keywords: |
JEL: C2 - Single Equation Models; Single Variables: General
|
| |
| Manuscript Received : Apr 06 2007 | | Manuscript Accepted : Aug 31 2007 |
|
