Feature request/Extensions: allow for structural breaks?

[alancrawford]

Thanks for the great package. I was wondering if there are any plans to extend its capabilities to analyse structural instabilities as suggested by Cheng, Liao, Schorfheide (2016) ? I was wondering whether you would have any thoughts on how best to extend this package to allow for regularised objectives? Could it be easily combined with other Julia packages that focus on regularised objective functions?