Spurious number of breaks

Luis C. Nunes, Paul Newbold, Chung Ming Kuan

Research output: Contribution to journalArticlepeer-review

13 Citations (Scopus)

Abstract

This paper considers the problem of choosing the number of breaks in the mean or trend of a series. We take the Schwarz-Bayesian criterion (SBC) which can be considered either as a proxy or as an alternative for what might be inferred from visual inspection of the graph of a time series. We show that spuriously many breaks will be inferred when the process is integrated of order one without breaks.

Original languageEnglish
Pages (from-to)175-178
Number of pages4
JournalEconomics Letters
Volume50
Issue number2
DOIs
Publication statusPublished - Feb 1996

Keywords

  • Model selection
  • Structural change
  • Unit-root

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