markov-switching model and stationarity To test the structural breaks and to perform markov-switching model  in time series data,  should i have stationary data.
Thank you in advance.
In this lecture it is stated at chapter 2.3 that &quot;The Markov switching model and its variants discussed in the preceding sections are
only suitable for stationary data&quot;. Perhaps you'd like to read into that more thoroughly.
Possible solution:
Since differentiation is allowed, you should also be able to produce an Error-Correcting Model -and its variants- through cointegration if stationarity is not achieved.