Validating multiple structural change models. A case study.

Achim Zeileis, Christian Kleiber

Publikation: Working/Discussion PaperWU Working Paper

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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.
OriginalspracheEnglisch
ErscheinungsortVienna
HerausgeberInstitut für Statistik und Mathematik, WU Vienna University of Economics and Business
DOIs
PublikationsstatusVeröffentlicht - 2004

Publikationsreihe

ReiheResearch Report Series / Department of Statistics and Mathematics
Nummer2

WU Working Paper Reihe

  • Research Report Series / Department of Statistics and Mathematics

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