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Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Kleiber, Christian | en |
dc.contributor.author | Zeileis, Achim | en |
dc.date.accessioned | 2009-01-29T15:02:42Z | - |
dc.date.available | 2009-01-29T15:02:42Z | - |
dc.date.issued | 2004 | - |
dc.identifier.uri | http://hdl.handle.net/10419/22546 | - |
dc.description.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. | en |
dc.language.iso | eng | en |
dc.publisher | |aUniversität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen |cDortmund | en |
dc.relation.ispartofseries | |aTechnical Report |x2004,34 | en |
dc.subject.jel | C87 | en |
dc.subject.jel | C22 | en |
dc.subject.ddc | 519 | en |
dc.subject.keyword | structural change | en |
dc.subject.keyword | breakpoints | en |
dc.subject.keyword | econometric software | en |
dc.subject.keyword | numerical accuracy | en |
dc.subject.keyword | reproducibility | en |
dc.subject.keyword | R | en |
dc.subject.keyword | GAUSS | en |
dc.subject.stw | Strukturbruch | en |
dc.subject.stw | Statistischer Test | en |
dc.subject.stw | PC-Software | en |
dc.subject.stw | Theorie | en |
dc.title | Validating multiple structural change models : A case study | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 391716050 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:sfb475:200434 | en |
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