Optimal Number of Breaks #33
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Hi Pascal, I think I have the algorithm working. Is there a maximum number of breaks? Most industries are returning an optimal of 2 breaks over the 22 years. A few report 3 and 4. One industry is reporting 7 breaks which seems like too many. |
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I decided on a max number of 3 breaks. All are significant at the 99% confidence level. |
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That sounds very good. I would also have recommended a maximum number of three breaks. Given that the sample period is relatively short, it does not make sense to allow for many more breaks than that. I am happy to hear that the breaks are usually significant. |
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I decided on a max number of 3 breaks. All are significant at the 99% confidence level.