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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 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_US
dc.language.isoengen_US
dc.publisheren_US
dc.relation.ispartofseriesTechnical Report / Universität Dortmund, SFB 475 Komplexitätsreduktion in Multivariaten Datenstrukturen 2004,34en_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-
Appears in Collections:Technical Reports, SFB 475: Komplexitätsreduktion in multivariaten Datenstrukturen, TU Dortmund

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