Validating multiple structural change models–a case study
Article first published online: 27 JUL 2005
Copyright © 2005 John Wiley & Sons, Ltd.
Journal of Applied Econometrics
Volume 20, Issue 5, pages 685–690, July/August 2005
How to Cite
Zeileis, A. and Kleiber, C. (2005), Validating multiple structural change models–a case study. J. Appl. Econ., 20: 685–690. doi: 10.1002/jae.856
- Issue published online: 27 JUL 2005
- Article first published online: 27 JUL 2005
- Manuscript Revised: 28 DEC 2004
- Manuscript Received: 19 MAY 2004
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.