Switching Autoregressive Coefficients

Discussion of models with structural breaks or endogenous switching.
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lnw
Posts: 18
Joined: Fri Sep 10, 2010 3:21 pm

Switching Autoregressive Coefficients

Unread post by lnw »

Hello,

I understand that when using the @MSVARSetup procedure we have the option of having the mean or the intercept switch, along with the option of having the variances switch between regimes.

However, is it possible to have the autoregressive coefficients switch between regimes?

Thanks in advance for any responses or suggestions.
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