We are grateful to Denise Osborn and Eric Renault for valuable comments and to Nikolaos Sakkas for assistance with the computations. The paper has also benefited from the comments of a co-editor and three anonymous referees. An earlier version of this paper was circulated under the title...

There is compelling evidence that many macroeconomic and financial variables are not generated by linear models. This evidence is based on testing linearity against either smooth nonlinearity or piece-wise linearity, but there is no framework that encompasses both. This paper provides an...

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...

We propose new information criteria for impulse response function matching estimators (IRFMEs). These estimators yield sampling distributions of the structural parameters of dynamic sto- chastic general equilibrium (DSGE) models by minimizing the distance between sample and theoretical impulse...

We are grateful to Mehmet Caner, Manfred Deistler, John Einmahl, Atsushi Inoue and Denise Osborn for their comments, as well as for the comments of participants at the presentation of this paper at the Conference on Breaks and Persistence in Econometrics, London, UK, December 2006, Inference and...