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Thank you very much for the explanations. Now, I can be sure that it is not possible to estimate a VAR switching model with panel data. May I ask another question that directly connects here? An alternative would be to run simple switching regressions for each variable separately. But it seems that ...

Hi, I realized that eViews 11 comes with switching VAR option in the VAR estimation, something very helpful for me. I want to run a model with panel data (yearly data of 40 firms over 35 years) with 6 endogenous variables and a bunch of exogenous ones. I specified the markov switching type and ticke...