All Rights Reserved
AccessEcon LLC 2006, 2008.
Powered by MinhViet JSC

 
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

  This abstract has been downloaded 1919 times                The Full PDF of this paper has been downloaded 153559 times