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Validating multiple structural change models : A case study

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  • Kleiber, Christian
  • Zeileis, Achim

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. --

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Paper provided by Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen in its series Technical Reports with number 2004,34.

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Date of creation: 2004
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Handle: RePEc:zbw:sfb475:200434

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Keywords: structural change; breakpoints; econometric software; numerical accuracy; reproducibility; R; GAUSS;

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References

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  1. B. D. McCullough & H. D. Vinod, 2003. "Verifying the Solution from a Nonlinear Solver: A Case Study," American Economic Review, American Economic Association, American Economic Association, vol. 93(3), pages 873-892, June.
  2. Jushan Bai & Pierre Perron, 1998. "Estimating and Testing Linear Models with Multiple Structural Changes," Econometrica, Econometric Society, Econometric Society, vol. 66(1), pages 47-78, January.
  3. Andrews, Donald W K & Ploberger, Werner, 1994. "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative," Econometrica, Econometric Society, Econometric Society, vol. 62(6), pages 1383-1414, November.
  4. Zeileis, Achim & Leisch, Friedrich & Hornik, Kurt & Kleiber, Christian, 2001. "Strucchange: An R package for testing for structural change in linear regression models," Technical Reports 2001,26, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  5. Cribari-Neto, Francisco & Zarkos, Spyros G, 1999. "R: Yet Another Econometric Programming Environment," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 14(3), pages 319-29, May-June.
  6. Jushan Bai, 1997. "Estimation Of A Change Point In Multiple Regression Models," The Review of Economics and Statistics, MIT Press, vol. 79(4), pages 551-563, November.
  7. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, Econometric Society, vol. 61(4), pages 821-56, July.
  8. Jushan Bai & Pierre Perron, 2003. "Computation and analysis of multiple structural change models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 18(1), pages 1-22.
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Citations

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Cited by:
  1. Konstantin A. Kholodilin & Boriss Siliverstovs, 2005. "On the Forecasting Properties of the Alternative Leading Indicators for the German GDP: Recent Evidence," Discussion Papers of DIW Berlin 522, DIW Berlin, German Institute for Economic Research.
  2. A. Talha Yalta & A. Yasemin Yalta, 2009. "Wilkinson Tests and gretl," EHUCHAPS, Universidad del País Vasco - Facultad de Ciencias Económicas y Empresariales, Universidad del País Vasco - Facultad de Ciencias Económicas y Empresariales.
  3. Czinkota, Thomas, 2012. "Das Halteproblem bei Strukturbrüchen in Finanzmarktzeitreihen
    [The Halting Problem applied to Structural Breaks in Financial Time Series]
    ," MPRA Paper 37072, University Library of Munich, Germany.
  4. Efrem Castelnuovo, 2006. "Tracking U.S. Inflation Expectations with Domestic and Global Indicators," "Marco Fanno" Working Papers 0031, Dipartimento di Scienze Economiche "Marco Fanno".
  5. González, Andrés & Teräsvirta, Timo, 2006. "Modelling autoregressive processes with a shifting mean," Working Paper Series in Economics and Finance 637, Stockholm School of Economics, revised 22 May 2007.
  6. Chevallier, Julien & Aboura, Sofiane, 2013. "Leverage vs. Feedback: Which Effect Drives the Oil Market ?," Economics Papers from University Paris Dauphine 123456789/9860, Paris Dauphine University.
  7. 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, Federal Reserve Bank of St. Louis 2005-014, Federal Reserve Bank of St. Louis.
  8. Roger Koenker & Achim Zeileis, 2009. "On reproducible econometric research," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 24(5), pages 833-847.
  9. Ignacio Díaz-Emparanza & Petr Mariel & María Victoria Esteban (ed.), 2009. "Econometrics with gretl. Proceedings of the gretl Conference 2009," UPV/EHU Books, Universidad del País Vasco - Facultad de Ciencias Económicas y Empresariales, Universidad del País Vasco - Facultad de Ciencias Económicas y Empresariales, edition 1, number 01.
  10. Baumöhl, Eduard & Výrost, Tomáš & Lyócsa, Štefan, 2011. "Are we able to capture the EU debt crisis? Evidence from PIIGGS countries in panel unit root framework," MPRA Paper 30334, University Library of Munich, Germany.
  11. Christian Kleiber & Achim Zeileis, 2010. "The Grunfeld Data at 50," German Economic Review, Verein für Socialpolitik, Verein für Socialpolitik, vol. 11, pages 404-417, November.
  12. A. Talha Yalta & A. Yasemin Yalta, 2010. "Should Economists Use Open Source Software for Doing Research?," Working Papers, TOBB University of Economics and Technology, Department of Economics 1007, TOBB University of Economics and Technology, Department of Economics.
  13. Per-Olov Johansson & Bengt Kriström, 2007. "On a clear day you might see an environmental Kuznets curve," Environmental & Resource Economics, European Association of Environmental and Resource Economists, European Association of Environmental and Resource Economists, vol. 37(1), pages 77-90, May.
  14. Achim Zeileis, . "Econometric Computing with HC and HAC Covariance Matrix Estimators," Journal of Statistical Software, American Statistical Association, American Statistical Association, vol. 11(i10).

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