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back | new search | print Zeileis, Achim; Kleiber, Christian: Validating multiple structural change models : an extended case study Research Report Series / Department of Statistics and Mathematics, Nr. 12, January 2005, This report replaces Report 2. A short version of this report has been accepted for publication in Journal of Applied Econometrics. Department of Statistics and Mathematics , Wirtschaftsuniversität Wien, Augasse 2-6, A-1090 Wien, Austria, 2005 Holdings from the WU library catalog | document ID: oai:epub.wu-wien.ac.at:epub-wu-01_7c5 Download document 13 pages/373 kB © Copyright notice  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's abstract)  Keywords: structural change / breakpoints / econometric software / numerical accuracy / reproducibility / R / GAUSS  Classification: JEL C220 / C870 © 2009 University Library and Institute for Information Business, Vienna University of Economics and Business | Thu Sep 2 19:48:00 2010