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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

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