Markov Switching DSGE

Dynare help (legacy posts)
1

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)

2

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.

Best

Michel

3

ok, thanks a lot

4

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

5

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.

6

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.