After testing a MS VECM with constant transition probabilities, I would have to test the same model, but with the transition probabilities as a function of the error correction term or an exogenous regressor.
I saw there is some discussion about time varying transition probabilities and the use of the function %MSPTV, but I didn't see applications under the VECM specification.
I saw for the VECM, the procedure MssysRegression is used. I was wondering how to specify the transition probabilities under this procedure, whether the specifications would be similar to those on the Filardo example.
any insights on how to tackle this problem will be very helpful.
Thanks in advance.