DETECTING THE NUMBER OF STRUCTURAL BREAKS

Authors
KIM IM
Citation
Im. Kim, DETECTING THE NUMBER OF STRUCTURAL BREAKS, Economics letters, 57(2), 1997, pp. 145-148
Citations number
10
Journal title
Economics letters → ACNP
ISSN journal
01651765
Volume
57
Issue
2
Year of publication
1997
Pages
145 - 148
Database
ISI
SICI code
0165-1765(1997)57:2<145:DTNOSB>2.0.ZU;2-M
Abstract
This paper shows that in contrast to the results reported by Nunes et al. (1996) the commonly used model selection criterion, Schwarz's Baye sian information criterion detects the number of structural breaks acc urately provided that appropriate regressors were used. (C) 1997 Elsev ier Science S.A.