trubador wrote:Unfortunately, EViews does not produce out-of-sample forecast values of regime probabilities at the moment.
Even if EViews did, there would be no way to test them as the out-of-sample regimes are not observed. This fundamental issue has nothing to do with EViews.
Trubador gave the OP sound advice (as usual) above
trubador wrote:Because MS models do not work in that way. It really does not matter what you expect from a model. You can always study and learn the statistical properties of a model from a textbook. The forum is here to fill in the blanks or point you in the right direction to do so.