Markov Switching Regimes

[hana88]

Hi All,

I have one pending question about finding the transition probabilities in the Markov Switching method. I know that Eviews 8 has this function, but since the latest version I have is Eviews 7, I'm trying to do this method in excel (my God i hope this is possible). My question is, how does one or on what basis does one compute or get the values for mean for regime 1 and mean for regime 2, their standard deviations, and p11 as well as p22? A lot of the excel files that I've been able to download online (for reference purposes) show these parameters as inputs but do not specify how they get them.

I'm attaching as well the paper that I'm currently referring to just in case you're curious: "Analysis of US Business Cycle with a Vector Markov Switching Model" by Zenon G. Kontolemis.

Thanks in advance guys.