文章基本信息

标题：wrong estimation of the true number of shifts in structural break models: Theoretical and numerical evidence
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作者：Jamel JOUINI ; Mohamed BOUTAHAR
期刊名称：Economics Bulletin
电子版ISSN：1545-2921
出版年度：2007
卷号：3
出版社：Economics Bulletin
摘要：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.
关键词：Model selection