Dijk, D.J.C. van; Franses, Ph.H.B.F.; Ravazzolo, F. - Erasmus University Rotterdam, Econometric Institute - 2007
, structural breaks.
JEL Classification: C11, C22, C53, C82, E01, E27
∗We are grateful to Sharon Kozicki and Norman Swanson for … structural breaks in the regression coefficients in
a model relating the final value (or the revision) to the early release … specification that allows for occasional
structural breaks in the regression parameters, that is
rft = x′tβt + εt, (2)
where βt = (β …