Spurious number of breaks

DOI10.1016/0165-1765(95)00746-6zbMath0875.62598OpenAlexW2065146324WikidataQ61639042 ScholiaQ61639042MaRDI QIDQ1351720

Chung-Ming Kuan, Paul Newbold, Luis C. Nunes

Publication date: 27 February 1997

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(95)00746-6

zbMATH Keywords

Model selectionStructural changeUnit-root

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Related Items

Piecewise FARIMA models for long-memory time series, Combining long memory and level shifts in modelling and forecasting the volatility of asset returns, Detecting the number of structural breaks, Strong rules for detecting the number of breaks in a time series

Cites Work

• Estimating the number of change-points via Schwarz' criterion
• Structural change and unit root econometrics
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis