The impact of serial correlation on testing for structural change in binary choice model: Monte Carlo evidence

DOI10.1016/J.MATCOM.2012.11.001MaRDI QIDQ2227427zbMATH OpenOpenAlexFDO

Authors Felix T. S. Chan, Laurent L. Pauwels, Johnathan Wongsosaputro

Publication date 15 February 2021

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.matcom.2012.11.001

zbMATH Keywords

binary choiceprobit modelstructural changesupremum test statistics

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• An Econometric Analysis of Some Models for Constructed Binary Time Series
• Conflict Among Criteria for Testing Hypotheses: Extensions and Comments
• Further Results on Testing AR (1) Against MA (1) Disturbances in the Linear Regression Model
• scientific article; zbMATH DE number 3930202 (Why is no real title available?)
• scientific article; zbMATH DE number 1944298 (Why is no real title available?)
• Testing structural stability with endogenous breakpoint. A size comparison of analytic and bootstrap procedures
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Tests of Equality Between Sets of Coefficients in Two Linear Regressions
• The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes

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