Detecting Regime Shifts by Kernel Density Estimation

Marco Bianchi
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Marco Bianchi: Bank of England

No 1996017, LIDAM Discussion Papers IRES from Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)

Abstract: 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 presented.

Pages: 12
Date: 1996-01-01
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Persistent link: https://EconPapers.repec.org/RePEc:ctl:louvir:1996017

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