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Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, Technische Universität Dortmund >
Technical Reports, SFB 475, TU Dortmund >
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http://hdl.handle.net/10419/22546
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| Title: | | Validating multiple structural change models : A case study  |
| Authors: | | Kleiber, Christian Zeileis, Achim |
| Issue Date: | | 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 |
| Appears in Collections: | | Technical Reports, SFB 475, TU Dortmund
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| tr34-04.pdf | | 278.04 kB | Adobe PDF |
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