Validating Multiple Structural Change Models - A Case Study
Loading...
Date
2004
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
Universitätsbibliothek Dortmund
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.
Description
Table of contents
Keywords
structural change, breakpoints, econometric software, numerical accuracy, reproducibility, R, GAUSS