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Validating multiple structural change models–a case study
Author(s) -
Zeileis Achim,
Kleiber Christian
Publication year - 2005
Publication title -
journal of applied econometrics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.878
H-Index - 99
eISSN - 1099-1255
pISSN - 0883-7252
DOI - 10.1002/jae.856
Subject(s) - quantile , replication (statistics) , econometrics , computation , computer science , confidence interval , software , computational statistics , r package , software package , gauss , mathematics , statistics , algorithm , machine learning , programming language , physics , quantum mechanics
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.