Google 很多code。R软件也有包做MSVAR，比如“MSBVAR”

Haroon Mumtaz 网站上看到两个相关的code：https://sites.google.com/site/hmumtaz77/code

Classical Estimation of Multivariate Markov-Switching Models using MSVARlib

Regime Switching Model with Time Varying Transition Probabilities
https://www.mathworks.com/matlabcentral/fileexchange/37144-regime-switching-model-with-time-varying-transition-probabilities?requestedDomain=www.mathworks.com

Marcelo Perlin：MS Regress -The MATLAB Package for Markov Regime Switching Models