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.
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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 |
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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 |
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