Validating Multiple Structural Change Models - A Case Study

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.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.identifier.uri	http://hdl.handle.net/2003/4905
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-5422
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

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