var RGDP KCFSI;

varobs RGDP KCFSI;

svar_identification;
exclusion lag 0;
equation 1, KCFSI;
end;

markov_switching(chain=1, number_of_states=2, duration=20);
svar(variances, chain=1);
svar(coefficients, chain=1);

ms_estimation(datafile=DavigHakkio10,
              freq=12, 
              initial_year=1990,
              final_year=2009,
              initial_subperiod=2,
              final_subperiod=9,
              nlags=1,
              coefficients_prior_hyperparameters=[0.57 0.13 0.1 1.2 10 10],
              max_repeated_optimization_runs=5,
              max_number_of_stages=5
              );

ms_simulation(mh_replic=1000);
ms_compute_mdd;
ms_compute_probabilities;
ms_irf;