Validating multiple structural change models-a case study
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. Copyright © 2005 John Wiley & Sons, Ltd.
Year of publication: |
2005
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Authors: | Kleiber, Christian ; Zeileis, Achim |
Published in: |
Journal of Applied Econometrics. - John Wiley & Sons, Ltd.. - Vol. 20.2005, 5, p. 685-690
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Publisher: |
John Wiley & Sons, Ltd. |
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