|
| |
| 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 |
|
