Structural changes in autoregressive models for binary time series

• We study autoregressive models for binary time series with possible changes in their parameters.
• A procedure for testing a single change is proposed.
• The limiting distribution of the test statistic is derived under the null hypothesis.
• A simulation study illustrates the performance of the test under various scenarios.

We study autoregressive models for binary time series with possible changes in their parameters. A procedure for detection and testing of a single change is suggested. The limiting behavior of the test statistic is derived. The performance of the test is analyzed under the null hypothesis as well as under different alternatives via a simulation study. Application of the method to a real data set on US recession is provided as an illustration.