Dear all,
I am trying to estimate a markov switching model with Stata's mswitch command. However, I can only obtain a model with fixed transition probabilities. I want a model with time-varying transition probabilities, but I cannot find how to do this in Stata. I checked Stata's mswitch manual, but there is nothing in there. Does anyone know if it is possible to have Markov switching with time-varying transition probabilities in Stata? And if it is possible, where can I find the commands/options that I need to use?
Thank you in advance!
Jorian
I am trying to estimate a markov switching model with Stata's mswitch command. However, I can only obtain a model with fixed transition probabilities. I want a model with time-varying transition probabilities, but I cannot find how to do this in Stata. I checked Stata's mswitch manual, but there is nothing in there. Does anyone know if it is possible to have Markov switching with time-varying transition probabilities in Stata? And if it is possible, where can I find the commands/options that I need to use?
Thank you in advance!
Jorian
