Validating multiple structural change models. An extended case study.

Achim Zeileis, Christian Kleiber

Publication: Working/Discussion PaperWU Working Paper

41 Downloads (Pure)

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.
Original languageEnglish
Place of PublicationVienna
PublisherInstitut für Statistik und Mathematik, WU Vienna University of Economics and Business
DOIs
Publication statusPublished - 2005

Publication series

SeriesResearch Report Series / Department of Statistics and Mathematics
Number12

WU Working Paper Series

  • Research Report Series / Department of Statistics and Mathematics

Cite this