A service provided by the WU Library and the WU IT-Services

Validating multiple structural change models. An extended case study.

Zeileis, Achim and Kleiber, Christian (2005) Validating multiple structural change models. An extended case study. Research Report Series / Department of Statistics and Mathematics, 12. Institut für Statistik und Mathematik, WU Vienna University of Economics and Business, Vienna.

[img]
Preview
PDF
Download (363Kb) | Preview

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.

Item Type: Paper
Additional Information: This report replaces Report 2. A short version of this report has been accepted for publication in Journal of Applied Econometrics.
Keywords: structural change / breakpoints / econometric software / numerical accuracy / reproducibility / R / GAUSS
Classification Codes: JEL C220; C870
Divisions: Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Depositing User: Repository Administrator
Date Deposited: 05 Jan 2005 11:55
Last Modified: 28 Feb 2017 16:58
URI: http://epub.wu.ac.at/id/eprint/280

Actions

View Item