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Validating multiple structural change models-a case study

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Author Info
Christian Kleiber (Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund, Germany)
Achim Zeileis (Institut für Statistik und Mathematik, Wirtschaftsuniversität Wien, Austria)

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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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File URL: http://hdl.handle.net/10.1002/jae.856
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File URL: http://qed.econ.queensu.ca:80/jae/2005-v20.5/
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Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 20 (2005)
Issue (Month): 5 ()
Pages: 685-690
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Handle: RePEc:jae:japmet:v:20:y:2005:i:5:p:685-690

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Jushan Bai & Pierre Perron, 1998. "Estimating and Testing Linear Models with Multiple Structural Changes," Econometrica, Econometric Society, vol. 66(1), pages 47-78, January.
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Timo Terasvirta & Andrés González, 2006. "Modelling autoregressive processes with a shifting mean," BORRADORES DE ECONOMIA 003230, BANCO DE LA REPÚBLICA. [Downloadable!]
    Other versions:
  2. Richard G. Anderson & William H. Greene & Bruce D. McCullough & H. D. Vinod, 2005. "The role of data & program code archives in the future of economic research," Working Papers 2005-014, Federal Reserve Bank of St. Louis. [Downloadable!]
  3. Roger Koenker & Achim Zeileis, 2009. "On reproducible econometric research," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(5), pages 833-847. [Downloadable!]
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