Restricting MS to Only the Impact Matrix of a MS-BVAR?

BVAR
1

Hello:

Does Dynare offer an option where the impact coefficients of a MS-BVAR are MS, while the lag coefficients are time-invariant?

Thank you in advance.

2

Out of the box, this seems not to be possible. But you may be able to use the MS-DSGE framework as in https://git.dynare.org/Dynare/dynare/blob/master/tests/ms-dsge/test_ms_dsge.mod to set up a restricted VAR.

3

Hi Johannes:

Thank you for the quick response and confirmation.