**Short version:**

Is there a post-estimation structural break test for DSGE models for checking the stability of the estimated parameters? Or all structural break tests should be done outside of the DSGE model pre-estimation? Not sure though if structural breaks in one or more variables even **always** cause problems for DSGE model estimation.

**Long version:**

I have a variance structural break in my data for real GDP per capita y_t (which is statistically confirmed by a CUSUM square test using the following AR(1) model: y_t = \alpha + \beta y_{t-1} + \epsilon_t).

So my plan has been to divide the sample into a post-structural break (low variance) and a pre-structural break (high variance) sub-samples. Indeed a structural program was implemented by the government at the point of the break.

However, through experimentation, I have also realized that the structural variance break is not detected in a 5-variable VAR model (i.e., for each equation, including y_t) but detected in a 2-variable VAR model.

Since the DSGE model includes even more variables and it is also essentially a VARMA model, my guess is that a structural variance break in y_t may still be okay for estimation. But not sure if my guess is correct.