Yes you can . You have to reformulate your model by adding a structural component to it. See pg 3 below:
https://pdfs.semanticscholar.org/0a06/3 ... 54c257.pdf
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- Sun Apr 14, 2019 9:55 am
- Forum: Estimation
- Topic: Structural breaks - State Space Method.
- Replies: 2
- Views: 2925