This paper proposes an iterative procedure to discriminate between structural breaks in the coefficients and the disturbance covariance matrix of a system of equations, with recursive procedures then identifying individual coefficient shifts and separating volatility from correlation breaks....

We test for a change in the volatility of 214 U.S. macroeconomic time series over the period 1959-1999. We find that approximately 80% of these series have experienced a break in unconditional volatility during this period. Even though more than half of the series experienced a break in...