DAVID N. DEJONG,a ROMAN LIESENFELDb AND JEAN-FRANCOIS RICHARDa*

SUMMARY
We propose a strategy for assessing structural stability in time-series frameworks when potential change
dates are unknown. Existing stability tests are effective in detecting structural change, but procedures for
identifying timing are imprecise, especially in assessing the stability of variance parameters. We present
a likelihood-based procedure for assigning conditional probabilities to the occurrence of structural breaks
at alternative dates. The procedure is effective in improving the precision with which inferences regarding
timing can be made. We illustrate parametric and non-parametric implementations of the procedure through
Monte Carlo experiments, and an assessment of the volatility reduction in the growth rate of US GDP.
Copyright  2006 John Wiley & Sons, Ltd.