Identification and Estimation of Structural-Change Models with Misclassification

Terence Tai Leung Chong (), Melvin J. Hinich () and Kwan-To Wong ()
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Kwan-To Wong: University of Hong Kong

Economics Bulletin, 2007, vol. 3, issue 36, pages 1-19

Abstract: 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.

Keywords: Binary Variable; Change Point; Misclassification. (search for similar items in EconPapers)
JEL-codes: C2 (search for similar items in EconPapers)
Date: 2007-08-28

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Persistent link: http://EconPapers.repec.org/RePEc:ebl:ecbull:v:3:y:2007:i:36:p:1-19

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