One of the stylized facts of unemployment is that shifts in its mean rate between decades and half-decades account for most of its variance. In this paper, we use a purely statistical analysis based on nonparametric densitity estimation techniques to identify the dates of infrequent changes in...

We focus in these paper on Granger shifts or structural breaks. We show that when the assumption of parameter constancy is violated, due to occurrence of structural breaks, Granger causality tests can provide misleading inference about the underlying relationship of causality. We consider a...

A method for the detection of regime shifts in univariate time series is investigated in this paper by combining nonparametric regression and density estimation techniques with prediction tests for structural changes. An application of the method to US quarterly ex-post real interest rates is...