MS-VAR (COEFFICIENTS)

[ecrgap]

Hi Tom,

I want to run an MS-VAR model whose coefficients on the lagged variables will be changing over time. So far I have found examples where only the intercept and/or the shocks variances change over time. Is there any example I can refer to?

Additionally, is there any example on how to compute the regime dependent impulse responses?

Thank you very much in advance.