Suppose you suspected that the intercept in Equation (15.15) changed in 1992:Q1. How would you modify the equation to incorporate this change? How would you test for a change in the intercept? How would you test for a change in the intercept if you did not know the date of the change?

Equation (15.15)

Transcribed Image Text:

GDPGR = 0.94+0.25 GDPGR-1+0.18 GDPGR-2 (0.46) (0.08) (0.08) (0.43) -0.13 TSpread-1+0.62 TSpread-2- (0.42)