Predicting Markov-Switching Vector Autoregressive Processes

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The asymmetric effect of trade openness on economic growth in South Africa: a nonlinear ARDL approach (2020, unknown): “All parameters of the theoretical conditional model can be made dependent on the St state of the Markov model (Krolzig 2000).”
Vector smooth transition regression models for US GDP and the composite index of leading indicators (2004, background): “…to include economic indicators that may help in computing forecasts, for example, Filardo (1994, 1999), Granger et al. (1993), Hamilton and Perez-Quiros (1996), Krolzig (1997, 2000), Estrella and Mishkin (1998), Blix (1999), Warne (2000), Beine et al. (2002), and Camacho and Perez-Quiros (2002).”
Exchange rate movements and stock market returns in a regime-switching environment: Evidence for BRICS countries (2014, methodology): “Pan et al. (2007) use a VAR approach to analyze the links between exchange rates and stock markets for seven East Asian countries, and provide evidence of a significant bidirectional relationship between these markets before the Asian financial crisis.”