@techreport{bda2d212565946f5906e647045d1709d,
title = "Validating multiple structural change models. A case study.",
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.",
author = "Achim Zeileis and Christian Kleiber",
year = "2004",
doi = "10.57938/bda2d212-5659-46f5-906e-647045d1709d",
language = "English",
series = "Research Report Series / Department of Statistics and Mathematics",
number = "2",
publisher = "Institut f{\"u}r Statistik und Mathematik, WU Vienna University of Economics and Business",
edition = "May 2004",
type = "WorkingPaper",
institution = "Institut f{\"u}r Statistik und Mathematik, WU Vienna University of Economics and Business",
}