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. / Series: Research Report Series / Department of Statistics and Mathematics
| Identifer | oai:union.ndltd.org:VIENNA/oai:epub.wu-wien.ac.at:epub-wu-01_7c5 |
| Date | January 2005 |
| Creators | Zeileis, Achim, Kleiber, Christian |
| Publisher | Institut fĂĽr Statistik und Mathematik, WU Vienna University of Economics and Business |
| Source Sets | Wirtschaftsuniversität Wien |
| Language | English |
| Detected Language | English |
| Type | Paper, NonPeerReviewed |
| Format | application/pdf |
| Relation | http://epub.wu.ac.at/280/ |
Page generated in 0.0023 seconds