Showing 1 - 3 of 3
Persistent link: https://www.econbiz.de/10004976810
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...
Persistent link: https://www.econbiz.de/10010629916
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...
Persistent link: https://www.econbiz.de/10005110769