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I want to use a lag of the unobserved state variable as a probability regressor as in Jeanne and Masson, 2000

Hello, I'm sorry to divert the discussion to ask a rather silly question, but I'm a newbie here. I'm trying to estimate a two-state Markov model with time varying transition probabilities. How do you estimate a model with the state variable depending on its previous lags? The estimation window allow...