Dynare provides a markov_switching command which, in the documentation description, we can use to define a Markov chain with the following optional parameters:
markov_switching(chain=2, number_of_regimes=3, duration=[0.5, 2.5, 2.5],
parameter=[alpha, rho], number_of_lags=2, restrictions=[[1,3,0],[3,3,1]]);
I would like to know whether I can define specific values for the ‘parameters’ here under each regime.