Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Zeileis, Achim | de |
dc.date.accessioned | 2004-12-06T18:39:24Z | - |
dc.date.available | 2004-12-06T18:39:24Z | - |
dc.date.issued | 2004 | de |
dc.identifier.uri | http://hdl.handle.net/2003/4905 | - |
dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-5422 | - |
dc.description.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. | en |
dc.format.extent | 284711 bytes | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | en | de |
dc.publisher | Universitätsbibliothek Dortmund | de |
dc.subject | structural change | en |
dc.subject | breakpoints | en |
dc.subject | econometric software | en |
dc.subject | numerical accuracy | en |
dc.subject | reproducibility | en |
dc.subject | R | en |
dc.subject | GAUSS | - |
dc.subject.ddc | 310 | de |
dc.title | Validating Multiple Structural Change Models - A Case Study | en |
dc.type | Text | de |
dc.type.publicationtype | report | en |
dcterms.accessRights | open access | - |
Appears in Collections: | Sonderforschungsbereich (SFB) 475 |
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tr34-04.pdf | DNB | 278.04 kB | Adobe PDF | View/Open |
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