Minimal State Variable Solutions to Markov-switching Rational Expectations Models

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Perturbation methods for Markov‐switching dynamic stochastic general equilibrium models (2016, methodology): “There are, however, two major shortcomings with the MSLRE approach advocated by Farmer, Waggoner, and Zha (2011).”
Methods for Inference in Large Multiple-Equation Markov-Switching Models (2008, background): “3This tractable result no longer holds for most regime-switching rational expectations models (Farmer, Waggoner, and Zha, 2006).”
Regime switches, Agents’ Beliefs, and Post-World War II U.S. Macroeconomic Dynamics (2013, unknown): “It is worth emphasizing that the law of motion of the DSGE states depends on the structural parameters (θ), the regime in place (ξ t ), and the probability of moving across 5The solution method proposed by Farmer et al. (2010) does not rule out the possibility of indeterminacy. For this reason, I ha”
Efficient Perturbation Methods for Solving Regime-Switching DSGE Models (2015, unknown): “The FRWZ algorithm: This technique, by Foerster et al. (2014), is one of the latest in the literature.”