@techreport{Kleiber2004Validating,
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 = {Christian Kleiber and Achim Zeileis},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {C87; C22; 330; structural change; breakpoints; econometric software; numerical accuracy; reproducibility; R; GAUSS; Strukturbruch; Statistischer Test; PC-Software; Theorie},
language = {eng},
number = {2004,34},
title = {Validating multiple structural change models : A case study},
type = {Technical Report / Universit\"{a}t Dortmund, SFB 475 Komplexit\"{a}tsreduktion in Multivariaten Datenstrukturen},
url = {http://hdl.handle.net/10419/22546},
year = {2004}
}
