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Is there any way to restrict coefficients in different regimes? I've only been able to restrict transition probabilities as it is.

In my case I'm estimating a simple 3 regime markov process with only the dependant variable and a constant (switchreg y c - i.e. no exogenous regressors or AR terms). I would like to identify an extreme regime with positive returns and high volatility (for instance restrict regime 3 to be positive and have higher variance than regime 1 and 2), but since I'm running a program with many loops, the regime may switch places. And it's very cumbersome to go through them one by one.

Unfortunately not.

It's an interesting idea. I'd have to think about how one might implement the restriction, both in terms of interface, and internally.

Alright. Was just in case there was a way to do it.

I'll manage without, no problem :-)

I'm trying to do the same.
How did you work around this issue, Thomasms90?

I wrote a bunch of if's to compare the regimes and correctly classify them in a table, then used that table for lookups.

Thank you for such a prompt reply and your idea. I will do like you and use an IF.
I will use the IF to compare the coefficients, since I know a certain coefficient has to be higher in one regime than the other at all times.