Joseph - I'm by no means an expert for Markov-Switching vector autogressive models, but this example might help getting you started: http://support.sas.com/documentation/cdl/en/etsug/66100/HTML/default/viewer.htm#etsug_model_sect277.htm Thanks, Udo ... View more

Yes.  The equivalent AUTOREG code for the MODEL code I supplied is: proc autoreg data=drate;    model y = / garch=(p=1,q=1);    hetero x / coef=nonneg; run; ... View more