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dc.contributor.authorKleiber, Christianen
dc.contributor.authorZeileis, Achimen
dc.date.accessioned2009-01-29T15:02:42Z-
dc.date.available2009-01-29T15:02:42Z-
dc.date.issued2004-
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
dc.language.isoengen
dc.publisher|aUniversität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen |cDortmunden
dc.relation.ispartofseries|aTechnical Report |x2004,34en
dc.subject.jelC87en
dc.subject.jelC22en
dc.subject.ddc519en
dc.subject.keywordstructural changeen
dc.subject.keywordbreakpointsen
dc.subject.keywordeconometric softwareen
dc.subject.keywordnumerical accuracyen
dc.subject.keywordreproducibilityen
dc.subject.keywordRen
dc.subject.keywordGAUSSen
dc.subject.stwStrukturbruchen
dc.subject.stwStatistischer Testen
dc.subject.stwPC-Softwareen
dc.subject.stwTheorieen
dc.titleValidating multiple structural change models : A case study-
dc.typeWorking Paperen
dc.identifier.ppn391716050en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:sfb475:200434en

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