Spurious number of breaks
Journal
Economics Letters
Journal Issue
50
Pages
175-178
Date Issued
1996
Author(s)
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.
SDGs
Type
journal article