Detecting Regime Shifts by Kernel Density Estimation

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.

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Year of publication:	1996-01-01
Authors:	Bianchi, Marco
Institutions:	Institut de Recherche Économique et Sociale (IRES), École des Sciences Économiques de Louvain

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Series:	Discussion Papers (IRES - Institut de Recherches Economiques et Sociales).
Type of publication:	Book / Working Paper
Notes:	The text is part of a series UNIVERSITE CATHOLIQUE DE LOUVAIN, Institut de Recherches Economiques et Sociales (IRES) Number 1996017 1 pages long
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004985281