Authors: | Zeileis, Achim |
Title: | Validating Multiple Structural Change Models - A Case Study |
Language (ISO): | en |
Abstract: | In a recent article, Bai and Perron (2003, Journal of Applied Econometrics) present a comprehensive discussion of computational aspects of multiple structural change models along with several empirical examples. Here, we report on the results of a replication study using the R statistical software package. We are able to verify most of their findings; however, some confidence intervals associated with breakpoints cannot be reproduced. These confidence intervals require computation of the quantiles of a nonstandard distribution, the distribution of the argmax functional of a certain stochastic process. Interestingly, the difficulties appear to be due to numerical problems in GAUSS, the software package used by Bai and Perron. |
Subject Headings: | structural change breakpoints econometric software numerical accuracy reproducibility R GAUSS |
URI: | http://hdl.handle.net/2003/4905 http://dx.doi.org/10.17877/DE290R-5422 |
Issue Date: | 2004 |
Provenance: | Universitätsbibliothek Dortmund |
Appears in Collections: | Sonderforschungsbereich (SFB) 475 |
Files in This Item:
File | Description | Size | Format | |
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tr34-04.pdf | DNB | 278.04 kB | Adobe PDF | View/Open |
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