[R-SIG-Finance] methods from Kim/Nelson "State-Space Models with Regime Switching"

[Whit Armstrong]

Has anyone implemented the methods from the Kim/Nelson book:
http://www.amazon.com/State-Space-Models-Regime-Switching-Gibbs-Sampling/dp/0262112388.

Gauss programs here:
http://www.econ.washington.edu/user/cnelson/markov/prgmlist.htm

Any suggestions for existing packages would be welcome.

So far, I see dse, dlm, MSVAR, and FKF.

Thanks,
Whit