The RATS Software Forum

Dear Tom,

I have been trying to estimate a three-regime MS-VAR (and regime-dependent impulse-response functions) with time-varying transition probabilities. The time-varying regime probabilities are a function of macroeconomic variables. I am wondering whether time-varying transition probabilities are feasible in the code (eev_mcmc.rpf) that follows the Ehrmann-Ellison-Valla(2003) approach and that uses mssysregression.src source file. If so, how those macroeconomic variables can be input and how the code can be modified?

Many thanks indeed.

Kind regards.

1. Do you have a reference for that? Gibbs sampling for time-varying transition probabilities would require sampling a multinomial logit.

2. Is there a reason that you want to estimate such a complicated model? Did you successfully estimate a three regime model without time-varying transitions?