Article ID Journal Published Year Pages File Type
5062282 Economics Letters 2006 6 Pages PDF
Abstract

This note suggests the use of information criteria to jointly determine the number and the type of multiple structural changes. The simulation evidence shows that the Bayesian information criterion is consistent and has good finite sample performance for various model specifications.

Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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The joint determination of the number and the type of structural changes
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