This article studies the estimation of state space models whose parameters are switching endogenously between two regimes, depending on whether an autoregressive latent factor crosses some threshold level. Endogeneity stems from the sustained impacts of transition innovations on the latent...

This article studies the estimation of state space models whose parameters are switching endogenously between two regimes, depending on whether an autoregressive latent factor crosses some threshold level. Endogeneity stems from the sustained impacts of transition innovations on the latent...

Presently there is growing interest in dynamic stochastic general equilibrium (DSGE) models that have more parameters, endogenous variables, exogenous shocks, and observables than the Smets and Wouters (2007) model, and substantial additional complexities from non-Gaussian distributions and the...