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Empirical Economic and Financial Research
This article deals with the problem of detecting, locating, and estimating the change-points in a time series process. We are interested in finding changes in the mean and the autoregressive coefficients in piecewise autoregressive processes, as well as changes in the variance of the innovations. With this objective, we propose an approach based on the Bayesian information criterion (BIC) and binary segmentation. The proposed procedure is compared with several others available in the literaturedoi:10.1007/978-3-319-03122-4_3 fatcat:dqdppblbg5hlfdxx3fx66fsh54