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.

Preview

PDF document.pdf Download (372kB)

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 10:55
Last Modified:	22 Oct 2019 00:40
URI:	https://epub.wu.ac.at/id/eprint/280

Actions

View Item

Downloads