Although econometric model specifications often take into account the non-linearities that derive from accounting constraints, the fundamental non-linearities connected with genuine regime changes and that “are not found in the data” have to be addressed in an essentially discretionary manner.
It’s not hard to find historical examples: The outlook for real activity shifted dramatically from late 1998, when overseas turmoil was thought to jeopardize U.S. growth, to early 1999, when it became clear that the effects would be minimal and activity was accelerating.