Inference on Structural Breaks using Information Criteria
نویسندگان
چکیده
منابع مشابه
Inference on Structural Breaks using Information Criteria
This paper investigates the usefulness of information criteria for inference on the number of structural breaks in a standard linear regression model. In particular, we propose a modified penalty function for such criteria based on theoretical arguments, which implies each break is equivalent to estimation of three individual regression coefficients. A Monte Carlo analysis compares information ...
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ژورنال
عنوان ژورنال: The Manchester School
سال: 2013
ISSN: 1463-6786
DOI: 10.1111/manc.12017