Dear Tom,
I would like to get state-dependent impulse response function for MSVAR models (MSVAR model with 3lags, states=2,switch=mh).
I try the workbook Structural Breaks and Switching Models which I ordered a couple of days ago but I could not find the code to get IRFs for MSVAR.
Would you please kindly tell me how to get it?
Thank you for your kind help!
Best wishes,
CLE