Re: Markov switching model
Posted: 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
yt1=c+X1+Z1+u @state 1
yt2=c+X2+u @state 2