Identification and Estimation of Structural-Change Models with Misclassification

Consider a simple change-point model with a binary regressor. We examine the consistency of the change-point estimator when the regressor is subject to misclassification. It is found that the time of change can always be identified. Further, special cases where the structural parameters can also be identified are discussed. Simulation evidence is provided.

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Year of publication:	2007-08-28
Authors:	Chong, Terence Tai-Leung ; Wong, Kwan-To ; Hinich, Melvin
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 3.2007, 36, p. 1-19
Publisher:	AccessEcon

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Extent:	application/pdf
Type of publication:	Article
Classification:	C2 - Econometric Methods: Single Equation Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010836009