Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/22546
Authors: 
Kleiber, Christian
Zeileis, Achim
Year of Publication: 
2004
Series/Report no.: 
Technical Report / Universität Dortmund, SFB 475 Komplexitätsreduktion in Multivariaten Datenstrukturen 2004,34
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.
Subjects: 
structural change
breakpoints
econometric software
numerical accuracy
reproducibility
R
GAUSS
JEL: 
C87
C22
Document Type: 
Working Paper

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