We describe here EViews tools for estimating switching VAR models—VAR models with nonlinearities arising from discrete changes in regime. As in their single equation counterparts, we consider settings with both independent and Markov switching where the sample separation into regimes is not observed.

The following discussion describes only the basic features of switching VARs. For a book length discussion of switching VAR models, see Krolzig (1997). In addition, switching models have a long history in economics that is detailed in numerous surveys (Goldfeld and Quandt, 1973, 1976; Hamilton, 1994; Frühwirth-Schnatter, 2006), and we encourage you to explore these resources for additional discussion.