The Impact of Serial Correlation on Testing For Structural Change in Binary Choice Model: Monte Carlo Evidence

The Impact of Serial Correlation on Testing For Structural Change in Binary Choice Model: Monte Carlo Evidence

This paper examines the finite sample properties of structural change tests with an unknown breakpoint for the probit model in the presence of serial correlation. The combination of structural change and serial correlation renders model estimation challenging, affecting the consistency of coefficien...

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Bibliographic Details
Main Authors: Chan, Felix, Pauwels, L., Wongsosaputro, J.
Format: Journal Article
Published: Elsevier Science 2013
Subjects:
Binary choice
Supremum test statistics
Probit model
Structural change
Online Access:http://hdl.handle.net/20.500.11937/23236

Internet

http://hdl.handle.net/20.500.11937/23236

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