MSVARlib 2.0, Markov-Switching Vector Autoregression Library, is an upgraded opensource
basic package designed to model univariate or multivariate regime dependent
time series. Among the available public resources in matrix languages, lots of programs
have spread thanks to the work of Kim and Nelson (1999) and Hamilton (1989), however
most of their routines were not designed in a general multivariate framework, but rather
as specific programs not so easy to be extended.

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