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Validating multiple structural change models–a case study

✍ Scribed by Achim Zeileis; Christian Kleiber

Publisher
John Wiley and Sons
Year
2005
Tongue
English
Weight
74 KB
Volume
20
Category
Article
ISSN
0883-7252

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✦ Synopsis

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.

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