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Technische Universität Dortmund >
Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, Technische Universität Dortmund >
Technical Reports, SFB 475, TU Dortmund >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/22546
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Kleiber, Christian | | en_US |
| dc.contributor.author | | Zeileis, Achim | | en_US |
| dc.date.accessioned | | 2009-01-29T15:02:42Z | | - |
| dc.date.available | | 2009-01-29T15:02:42Z | | - |
| dc.date.issued | | 2004 | | en_US |
| 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_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | | | en_US |
| dc.relation.ispartofseries | | Technical Report / Universität Dortmund, SFB 475 Komplexitätsreduktion in Multivariaten Datenstrukturen 2004,34 | | en_US |
| dc.subject.jel | | C87 | | en_US |
| dc.subject.jel | | C22 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | structural change | | en_US |
| dc.subject.keyword | | breakpoints | | en_US |
| dc.subject.keyword | | econometric software | | en_US |
| dc.subject.keyword | | numerical accuracy | | en_US |
| dc.subject.keyword | | reproducibility | | en_US |
| dc.subject.keyword | | R | | en_US |
| dc.subject.keyword | | GAUSS | | en_US |
| dc.subject.stw | | Strukturbruch | | en_US |
| dc.subject.stw | | Statistischer Test | | en_US |
| dc.subject.stw | | PC-Software | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | Validating multiple structural change models : A case study | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 391716050 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| dc.identifier.repec | | RePEc:zbw:sfb475:200434 | | - |
| Appears in Collections: | | Technical Reports, SFB 475, TU Dortmund
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