Stata has the ability to estimate Markov-switching models for time-series data. These models are used when the parameters for the series do not remain constant over time. Switching between states or regimes can be either abrupt or smooth.
This video provides a quick overview of the theory behind Markov models, the types of models you can estimate with the new -mswitch- command, and other statistics you can obtain, such as transition probabilities.
For more information about Markov-switching models in St
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