Evidence on structural changes in U.S. time series

Abstract Some developments in the analysis of structural change models are presented to explore the empirical evidence of the instability by uncovering structural breaks in some U.S. time series. Indeed, the unstable series may be subjected to a meticulous examination allowing to determine changes present in their structure. To that effect, we pursue a methodology composed of different steps and we propose a modelling strategy so as to detect the break dates that can exist in the series. Once the breaks are selected, we attempt to find economic explanations showing why in the chosen dates there are changes in the series. The results indicate that the time series relations have been altered by various important facts and international economic events such as the two Oil-Price Shocks and changes in the International Monetary System. They also show that the presence of high correlation in the data greatly affects the estimation precision of some procedures.

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