Markov Switching DSGE

Hi all,
I was wondering if the following paper’s results can be reproduced using dynare. The authors assume a markov switching interest rate rule and use standard techniques to solve the model (e.g. Sims’ method). I have attached the paper (Davig and Leeper: ‘‘Generalizing the Taylor Principle’’).

Thanks a lot.
GTP.pdf (421 KB)

No, Dynare is not yet able to solve Markov Switching DSGE models. We are working on it, but this functionality is still several months away.



ok, thanks a lot

Are there any news about this? Can Dynare be used to estimate Markov switching models?

We are still working on this. It should be incorporated in the unstable version by march (hopefully), and in the 4.3 stable release which should occur by the summer 2011.

Is it possible to estimate a markov switching model with time varying transition probability with the current version just released (Dynare 4.3)?

Thanks a lot.