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Achim Zeileis
;
Christian Kleiber

validating multiple structural change models-a case study (replication data)

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.

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Zeileis, Achim; Kleiber, Christian (2005): Validating multiple structural change models-a case study (replication data). Version: 1. Journal of Applied Econometrics. Dataset. http://dx.doi.org/10.15456/jae.2022319.0709813497

Related Publication

Zeileis, A. and Kleiber, C. (2005), Validating Multiple Structural Change Models-A Case Study, Journal of Applied Econometrics, 20(5), 685-690. https://doi.org/10.1002/jae.856

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