Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/22546
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dc.contributor.authorKleiber, Christianen_US
dc.contributor.authorZeileis, Achimen_US
dc.date.accessioned2009-01-29T15:02:42Z-
dc.date.available2009-01-29T15:02:42Z-
dc.date.issued2004en_US
dc.identifier.urihttp://hdl.handle.net/10419/22546-
dc.description.abstractIn a recent article, Bai and Perron (2003, Journal of Applied Econometrics) present acomprehensive discussion of computational aspects of multiple structural change models alongwith several empirical examples. Here, we report on the results of a replication study usingthe R statistical software package. We are able to verify most of their findings; however, someconfidence intervals associated with breakpoints cannot be reproduced. These confidenceintervals require computation of the quantiles of a nonstandard distribution, the distributionof the argmax functional of a certain stochastic process. Interestingly, the difficulties appearto be due to numerical problems in GAUSS, the software package used by Bai and Perron.en_US
dc.language.isoengen_US
dc.publisheren_US
dc.relation.ispartofseries|aTechnical Report / Universität Dortmund, SFB 475 Komplexitätsreduktion in Multivariaten Datenstrukturen |x2004,34en_US
dc.subject.jelC87en_US
dc.subject.jelC22en_US
dc.subject.ddc330en_US
dc.subject.keywordstructural changeen_US
dc.subject.keywordbreakpointsen_US
dc.subject.keywordeconometric softwareen_US
dc.subject.keywordnumerical accuracyen_US
dc.subject.keywordreproducibilityen_US
dc.subject.keywordRen_US
dc.subject.keywordGAUSSen_US
dc.subject.stwStrukturbruchen_US
dc.subject.stwStatistischer Testen_US
dc.subject.stwPC-Softwareen_US
dc.subject.stwTheorieen_US
dc.titleValidating multiple structural change models : A case studyen_US
dc.typeWorking Paperen_US
dc.identifier.ppn391716050en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:sfb475:200434-

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