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...

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...

This paper advocates a reverse from of event studies that is data-dependent to determine endogeneously the events that trigger non-linear market behavior. Using the Malaysian stock market as our case study, coupled with the ‘windowing' approach proposed by Hinich and Patterson (1995), the...

This study utilizes the Hinich portmanteau bicorrelation test in conjunction with the windowed testing procedure to examine the cross-temporal universality of non-linear dependencies in the returns series for Asian stock market indices. As a whole, the detected non-linear dependencies do not...

This paper advocates a reverse from of event studies that is data-dependent to determine endogeneously the events that trigger non-linear market behavior. Using the Malaysian stock market as our case study, coupled with the ‘windowing' approach proposed by Hinich and Patterson (1995), the...

This study utilizes the Hinich portmanteau bicorrelation test in conjunction with the windowed testing procedure to examine the cross-temporal universality of non-linear dependencies in the returns series for Asian stock market indices. As a whole, the detected non-linear dependencies do not...