Markov switching SBVAR

is there any examples on where to put markov_switching, ms_estimation command into the mod file?

i am trying to estimate a Markov-switching SBVAR model on taylor rule. But do not know where to put SBVAR command.

the wrong information is:

ERROR: gali_regime.mod: line 142, cols 62-70: syntax error, unexpected NAME, expecting RESTRICTIONS or CHAIN or DURATION or NUMBER_OF_REGIMES

Error using dynare (line 174)
DYNARE: preprocessing failed
gali_regime1.xls (169 KB)
gali_regime.mod (5.09 KB)

You are confusing something. Dynare does not support Markov-Switching DSGE models yet. It only support SBVARs. You may want to take a look at Junior Maih’s RISE toolbox.

Thank you for your instruction.

I am trying the rise box examples on Markov Switching and got some wrong information. Could you pls. help me to fix this problem?



addpath c:\rise_toolbox\examples\MarkovSwitching\RamirezWaggonerZha2012
file2blocks:: (gentle warning): psi is also a matlab function
parse:: Model parsing . 0.1181 seconds
parse:: Steady State Model parsing . 0.0145 seconds
parse:: exogenous definitions block parsing . 0.0009 seconds

Now computing symbolic derivatives…

parse:: Derivatives of dynamic model wrt y(+0-), x and theta up to order 2. 3 equations and 7 variables :0.7143 seconds
parse:: 1st-order derivatives of static model wrt y(0). 3 equations and 3 variables :0.0793 seconds
parse:: 1st-order derivatives of static BGP model wrt y(0). 6 equations and 6 variables :0.1611 seconds
Error using dsge/frontier (line 46)
Not enough input arguments.

Error in rise_generic/set/set_all_options (line 273)

Error in rise_generic/set (line 93)

Error in dsge/set (line 95)

Error in dsge (line 226)

Error in rise (line 66)

Sorry, but we only provide support for Dynare. You have to contact Junior Maih, the developer of RISE.

Dear Professor Pfeifer,

I am looking for the solution of Markov-Switching DSGE models and just came across your answer today ( almost 5 years after your initial reply!!!).

I am wondering if the newest release of Dynare supports the Markov-Switching DSGE models or we still need to use RESE toolbox.

Thank you so much and look forward to your reply.


@Eva No, Dynare still does not support this.