Bataa, Erdenebat; Osborn, Denise R.; Sensier, Marianne; … - In: The Review of Economics and Statistics 95 (2013) 2, pp. 646-659
This paper proposes an iterative procedure to discriminate between structural breaks in the coefficients and the disturbance covariance matrix of a system of equations, with recursive procedures then identifying individual coefficient shifts and separating volatility from correlation breaks....