Validating multiple structural change models-a case study

Christian Kleiber and Achim Zeileis
Additional contact information
Achim Zeileis: Institut für Statistik und Mathematik, Wirtschaftsuniversität Wien, Austria, Postal: Institut für Statistik und Mathematik, Wirtschaftsuniversität Wien, Austria

Journal of Applied Econometrics, 2005, vol. 20, issue 5, pages 685-690

Abstract: 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.

Date: 2005
View list of references View citations in EconPapers

Downloads: (external link)
http://hdl.handle.net/10.1002/jae.856 Link to full text; subscription required (text/html)
http://qed.econ.queensu.ca:80/jae/2005-v20.5/ Supporting data files and programs (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:jae:japmet:v:20:y:2005:i:5:p:685-690

Ordering information: This journal article can be ordered from
http://www3.intersci ... e.jsp?issn=0883-7252

Access Statistics for this article

Journal of Applied Econometrics is edited by M. Hashem Pesaran

More articles in Journal of Applied Econometrics from John Wiley & Sons, Ltd.
Series data maintained by Christopher F. Baum ().