Markov switching model

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iam_celiiine
Posts: 3
Joined: Wed Apr 26, 2017 2:29 pm

Re: Markov switching model

Postby iam_celiiine » Sat May 13, 2017 4:14 pm

Can anyone tell me how to impose zero restriction on only one of the endogenous variable in a two-state model? such that my model would look like this:
yt1=c+X1+Z1+u @state 1
yt2=c+X2+u @state 2


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