On Tue, 28 Oct 2014, Erasmo Papagni wrote:
Hello,
Using the package strucchange to implement Bai-Perron methods I found
that sometimes intervals between 2 break dates are exactly equal to the
minimum that I set in the command "breakpoints". I think this is a
problem and a signal of possible different breaks with a trimming value
lower than the one I specified.
Yes, that's possible. You can easily explore, though, how the results
change if you require a smaller minimal segment size. The idea is that the
minimal segment size needs to be big enough to lead to reliable parameter
estimates but small enough to be below the smalles true segment size.
Then, if the minimal segment size is neither too small or too large, then
the results shouldn't be affected (much) by the precise value of the
minal segment size.
This case arises in Bai-Perron 2003 when they apply their methodology to
the Phillips curve: the distance between the dates 1967 and 1975 is 8
years, and is equal to the minimum allowed.
Yes, however in help("PhillipsCurve", package = "strucchange") we also
explore some additional specifications with a smaller value which still
yields the same breakpoints.
However, I think that this particular data set and model are not bad but
it's probably fair to say that they are not the most convincing case for
structural change techniques either.
Best,
Z
Thanks a lot
Erasmo Papagni
Departemnt of Economics
University of Naples II
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