Structure change with transition matrix

 

We continue to consider

 

but

for the first group of period of time

 

for the second group of period of time

and

for the second group of period of time.

 

Here, we keep parameters unchanged instead.

 

There are three models considered for structure change.

 

(1)   transition matrices only

(2)   parameters only

(3)   both transition matrices and parameters

 

Today we consider the first one with three sets of transition matrices.