state-dependent impulse responses for Markov Switching VAR

[FilipinoEconomist]

Does anybody have a RATS code for generating regime-dependent impulse response functions for Markov-switching VARs (see M. Ehrmann et al., Regime-Dependent IRFs in a MS-VAR Model, Economics Letters 78, pp 295-299 (2003)) -- which can be used, e.g., to see if the impulse responses are asymmetric depending on whether the economy is in the state of recession or boom (see Paolillo and Petragallo (2004), http://www.cide.info/conf_old/papers/1108.pdf )? An Ox code is available in one of the authors' webpage here:
http://www2.warwick.ac.uk/fac/soc/econo ... n/software
but I am wondering if somebody has a RATS code, since I am a RATS beginner, and I'm not familiar with Ox either. Will much appreciate if somebody has something out there or could help generate something.

Regards.

[TomDoan]

See http://www.estima.com/forum/viewtopic.php?f=8&t=1192