Kurozumi, Eiji; Tuvaandorj, Purevdorj - Institute of Economic Research, Hitotsubashi University - 2010
This paper considers the issue of selecting the number of regressors and the number of structural breaks in multivariate regression models in the possible presence of mul- tiple structural changes. We develop a modified Akaike's information criterion (AIC), a modified Mallows' Cp criterion and a...