I've got some Matlab code that should be easy (ish) to translate. Or maybe run via octave. I'll get it to you later this week. PS On Feb 2, 2016 2:33 PM, Logan Kelly <logan.kelly(a)uwrf.edu&gt; wrote: Hello, Has anyone written any code for estimating Markov-Switching Models? Cheers, Logan -- Logan J. Kelly, Ph.D. Associate Professor, Department of Economics, University of Wisconsin-River Falls Director, UWRF Center for Economic Research, http://www.uwrf.edu/cer Phone: 715 425 4993 Click here to schedule a meeting.<https://freebusy.io/logan.j.kelly@gmail.com>