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Jamel JOUINI and Mohamed BOUTAHAR
 
''wrong estimation of the true number of shifts in structural break models: Theoretical and numerical evidence''
( 2007, Vol. 3 No.3 )
 
 
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.
 
 
Keywords: Model selection
JEL: C2 - Single Equation Models; Single Variables: General
 
Manuscript Received : Nov 23 2006 Manuscript Accepted : Jan 10 2007

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