I have a question on the procedure of estimating a MS-DSGE model. I am not exactly sure how to run the ms-dsge example provided in https://www.dynare.org/manual/Markov_002dswitching-SBVAR.html. There doesn’t seem to be a corresponding data file. Also, suppose there is a data file, shall I add varobs and estimation at the end of the mod file, or varobs and ms_estimation?
As far as I am concerned, Dynare cannot handle MS-DSGE models. The example you pointed out in the manual is an SBVAR, which is not the same as a MS-DSGE, I recommend you take a look at Junior Maih’s RISE Toolbox, which solves both linear and non-linear MS-DSGE models.
Hope this helps.
Thank you for your reply. I understand that the link I posted is related to MS-SBVAR. I forgot to mention that I was referring to the footnote link posted in the MS-SBVAR manual https://git.dynare.org/Dynare/dynare/blob/master/tests/ms-dsge/test_ms_dsge.mod. So MS-DSGE is not currently implemented in Dynare?
No, Dynare does not support Markov-Switching DSGE models