Bayesian Estimation of Heteroskedastic Structural Vector Autoregressions with Markov-Switching and Time-Varying Identification of the Structural Matrix

R Code for Bayesian Inference for Structural Vector Autoregressions Identified with Markov-Switching Heteroskedasticity

Likelihood ratio based tests for regime switching

Create sparse transition matrices given state-space vectors, mean, variance

Bayesian Estimation of Markov-Switching VARs for Granger Causal Inference in R