Estimation of Regime Switching Factor Model

[jonasdovern]

Hallo,

I would like to estimate a regime switching factor model as in Chauvet, M. (1998), An Econometric Characterization of Business Cycle Dynamics with Factor Structure and Regime Switching, International Economic Review, 39(4). Do the current Markov switching routines of RATS facilitate such an estimation, most importantly the Kim, C.J. (1994), Dynamic Linear Models with MArkov-Switching, Journal of Econometrics 60(1) algorithm? Or is there by now any other method to estimate such models that is coded one of the procedures?

Kind regards, Jonas