Calculating fits of Markov Switching Model

[siope1kd]

Hi all,

So I have created a MS-AR(1) model in EViews 9.5 and I'm just trying to understand how some of the output is calculated.

This is really dumb and probably a simple question to answer, but I can't seem to get how the fitted values are calculated. I have tried calculating them myself and can't seem to get my calculations to match up. My process looks like this:

fity1 = c(1)+beta(1)*(y(-1) - c(1))
fity2 = c(2)+beta(1)*(y(-1) - c(2))

Then the fitted value is:

fity=P(S(t)= 1)*fity1+P(S(t)= 2)*fity2

NOTE: I'm using smoothed probabilities in my calculations (which is probably part of the problem).

Please help, my calculations are really close, but don't match up with those produced in the output.

THANK YOU!!!