Technical Report / Universität Dortmund, SFB 475 Komplexitätsreduktion in Multivariaten Datenstrukturen 2004,34
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.
structural change breakpoints econometric software numerical accuracy reproducibility R GAUSS