Granger causality tests are widely used in applied economics as a way of establishing if a variable has been a leading indicator of another over the past. However, like most statistical tests, Granger causality tests require that the relationship between the variables remains stable over the...

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 statistical analysis based on Markov switching regression models to identify the dates of infrequent changes in the mean of the...

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...

The paper fits into the recent ddmte about persistence of shocks and unit roots in macroeconomic time series. Taking the large persistence of shocks as an empirical well-established fact, the debate foclls now on whether such an empirical finding is better consistent with the hypothesis of...

The segmented regression approach described in Bianchi (1993a,b) is applied in this paper to pairs of time series, with the aim of establishing empirical relationships and directions of causality between variables. The approach is based on the asumption of regime shifts in univariate time series...

In Bianchi (1993), we suggested an algorithm for estimating in time series the number and the location of change points, or trend-breaks, caused by infrequent permanent shocks. In this paper, the performance of the algorithm is evaluated upon the series of U.S. nominal wages over the period...