Spurious number of breaks

Luis C. Nunes; Paul Newbold; Chung Ming Kuan

doi:10.1016/0165-1765(95)00746-6

Spurious number of breaks

Luis C. Nunes, Paul Newbold, Chung Ming Kuan

NOVA School of Business and Economics (NOVA SBE)

Research output: Contribution to journal › Article › peer-review

14 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 language	English
Pages (from-to)	175-178
Number of pages	4
Journal	Economics Letters
Volume	50
Issue number	2
DOIs	https://doi.org/10.1016/0165-1765(95)00746-6
Publication status	Published - Feb 1996

Keywords

Model selection
Structural change
Unit-root

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10.1016/0165-1765(95)00746-6

Cite this

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title = "Spurious number of breaks",

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.",

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AB - 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.

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KW - Unit-root

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DO - 10.1016/0165-1765(95)00746-6

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Spurious number of breaks

Abstract

Keywords

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