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
Publisher: Universitätsbibliothek Dortmund
Appears in Collections:Sonderforschungsbereich (SFB) 475

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