[R-SIG-Finance] Markov Switching

[Angel Spassov]

DeaR list,

I am looking for a descent implementation of
a Markov Switching Vector Autoregressive Model.

Until now I found the following packages:

1) MSBVAR: It seems that this package estimates
Markov-Switching VAR-models only from a Bayesian
point of view? Correct me if I am wrong. 
I also need it from a frequentist point of view.

Assumed, this package is the single option, 
I would greatly appreciate some basic 
code of how to estimate a single model with it. 
For example, how can I model the following 
bivariate time series: 

set.seed(1234)
myts <- as.ts(data.frame(a=rnorm(100),b=rnorm(100) + 2))

If I got the man pages correctly, I have to use both 
"msbvar" and "gibbs.msbvar". Mr. Brandt is 
pointing the user to a non-existing vignette 
(see ?msbvar, "Note" section) and no example are 
provided in the man pages.
I think MSBVAR is a challenge for a new user.

2) fMarkovSwitching: This package is not compatible
with the latest version of R and is seemingly
suitable only for univariate models.
Nevertheless, at least I succeeded to estimate 
my model and to interpret the results with this package. 

Any other suggestions?

Angel.