Resource title

Validating multiple structural change models. A case study.

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Resource description

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. (author's abstract) ; Series: Research Report Series / Department of Statistics and Mathematics

Resource author

Achim Zeileis, Christian Kleiber

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Resource language

en

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application/pdf

Resource resource URL

http://epub.wu.ac.at/584/1/document.pdf

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