Dear Prof. Maih.

This may sound weird. But is it possible to estimate a regime switching model while fixing the path of regime?

The estimation gives the values of parameters that switch over time and the associated probabilities. It also gives the estimated shocks. What I mean is if it is possible to fix the regime path and then estimate shocks consistent with that regime path from the data.

For example, in the context of RS monetary rule, the usual estimation gives thr possible regime values of taylor rule parameters and the regime probabilities. But I was wondering if it ispossible to prefix the path and value of regimes and back out the associated shocks.

Best,

Husang.