TY - UNPB
T1 - Validating multiple structural change models. A case study.
AU - Zeileis, Achim
AU - Kleiber, Christian
PY - 2004
Y1 - 2004
N2 - 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.
AB - 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.
U2 - 10.57938/bda2d212-5659-46f5-906e-647045d1709d
DO - 10.57938/bda2d212-5659-46f5-906e-647045d1709d
M3 - WU Working Paper and Case
T3 - Research Report Series / Department of Statistics and Mathematics
BT - Validating multiple structural change models. A case study.
PB - Institut für Statistik und Mathematik, WU Vienna University of Economics and Business
CY - Vienna
ER -