Validating multiple structural change models: A case study
Christian Kleiber and
Achim Zeileis ()
No 2004,34, Technical Reports from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen
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.
Keywords: structural change; breakpoints; econometric software; numerical accuracy; reproducibility; R; GAUSS (search for similar items in EconPapers)
JEL-codes: C22 C87 (search for similar items in EconPapers)
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