Unfortunately there is very little on that topic. You might have a look at
R-forge, where some projects started, but, as far as I know, they never
really took off.

On the other side, the package tsDyn is doing threshold VECM, which is
similar to MS-VECM, the difference being that the transition variable is
assumed to be observed, instead of being a latent process.

Best
I


2012/12/20 asfdoij asfoij <isaacm300@gmail.com>

> I'm wondering if anyone knows where I can find R code/package to estimate
> MS-VECM (Markov Switching VECM). I've looked at
> http://cran.r-project.org/web/views/TimeSeries.html
> and the archives and can't find anything. I've also looked at the urca and
> vars packages and haven't found anything.
>
> Thank you.
>
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