Chan, Felix; Pauwels, Laurent L.; Wongsosaputro, Johnathan - In: Mathematics and Computers in Simulation (MATCOM) 93 (2013) C, pp. 175-189
magnified in probit models. In particular, the tests exhibit greater size distortion for the probit model than the linear model …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 …