Validating multiple structural change models–a case study
复制了Bai和Perron关于多重结构变化模型的计算研究，用R软件验证了大部分结果，但发现部分置信区间因GAUSS软件数值问题无法复现。
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.