I was wondering if you could assist me with coding on the model from the following paper "A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models" of Kim and Nelson (1999). I tried to follow the programming that you posted about two months ago using the Stock and Watson model and trying to include the Gibbs sampler and the Markov Switching process as well but I have been running into tremendous amount of problems in doing so.
The authors actually have the code posted at http://www.econ.washington.edu/user/cne ... #chapter10
which I tried following as well but to no avail. I'll also attach a link to the paper as well http://www.econ.washington.edu/user/changjin/ier99.pdf
As usual many thanks in advance for your usual cooperation and assistance in these matters