This page documents the Dynare interface to the Markov Switching VAR code from Sims, Waggoner and Zha (SWZ).

Existing interface

Two commands are already available from MOD files (in Dynare unstable version):

for structural BVARs without Markov Switching: sbvar
for structural BVARs with Markov Switching: ms_sbvar

These two commands accept the options listed on the MarkovSwitchingOptions page: fourth column of the table gives the name of the option from Dynare standpoint, and last column is the default value.

Proposal for extending the interface

SBVAR identification

Suppose that the model is written as:

$y_t A_0 = x_t A_+ + \epsilon_t \, X_i$

Well-know schemes are identified by option. Currently:

svar_identification(upper_cholesky);
svar_identification(lower_cholesky);

More sophisticated schemes are described by listing exclusion restrictions on or :
```
svar_identification;
 exclusion lag 0;
 equation 1, y, pi;
 equation 2, pi, r;
 exclusion lag 1;
 equation 1, y, pi;
 equation 2, pi, r;
end;
```
This information is then stored by the preprocessor in M_.svar_exclusions (format of that data still to be determined)
Syntax for linear constraints ?