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Validating multiple structural change models. A case study.

Zeileis, Achim and Kleiber, Christian (2004) Validating multiple structural change models. A case study. Research Report Series / Department of Statistics and Mathematics, 2. Institut für Statistik und Mathematik, WU Vienna University of Economics and Business, Vienna.

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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.

Item Type: Paper
Additional Information: This report is replaced by report 12.
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: 18 May 2004 00:00
Last Modified: 27 Feb 2017 19:37
Related URLs:
URI: http://epub.wu.ac.at/id/eprint/584

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