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Here's a snippet of a switching regression, simple switching on postwar GDP growth. Note that the standard error of the regression is larger than the standard deviation of the dependent variable. Is that odd?

Hard to say. The switching objective is very different from the simple minimum sums-of-squares that you get in the standard case.

What is regime specific in your model?

Just the mean.

Have to think about this. Can you send me the workfile?