Arbeitspapier

Validating multiple structural change models : A case study

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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.

Sprache
Englisch

Erschienen in
Series: Technical Report ; No. 2004,34

Klassifikation
Econometric Software
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Thema
structural change
breakpoints
econometric software
numerical accuracy
reproducibility
GAUSS
Strukturbruch
Statistischer Test
PC-Software
Theorie

Ereignis
Geistige Schöpfung
(wer)
Kleiber, Christian
Zeileis, Achim
Ereignis
Veröffentlichung
(wer)
Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
(wo)
Dortmund
(wann)
2004

Handle
Letzte Aktualisierung
10.03.2025, 11:44 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
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Objekttyp

  • Arbeitspapier

Beteiligte

  • Kleiber, Christian
  • Zeileis, Achim
  • Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen

Entstanden

  • 2004

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