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


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.

Out of the box, this seems not to be possible. But you may be able to use the MS-DSGE framework as in to set up a restricted VAR.

Hi Johannes:

Thank you for the quick response and confirmation.