Inference for multiple-equation Markov-chain models raises a number of difficulties that are unlikely to appear in smaller models. Our framework allows for many regimes in the transition matrix, without letting the number of free parameters grow as the square as the number of regimes, but also...

General equilibrium models that include policy rules for government spending, lump-sum transfers, and distortionary taxation on labor and capital income and on consumption expenditures are fit to US data under rich specifications of fiscal policy rules to obtain several results. First, the...

We estimate a Markov-switching mixture of two familiar macroeconomic models: A richly parameterized DSGE model and a corresponding BVAR model. We show that the Markov-switching mixture model dominates both individual models and improves the fit considerably. Our estimation indicates that the...