*********************************************************************
* msvarsetup
*********************************************************************
* loads data
open data "example data.prn"
data(format=prn,org=columns) 1 1275 example

* Markov regime options and dependent variable, no other variables allowed
@msvarsetup(lags=5,states=2,switch=ch)
# example

* likelihood function and parameter sets
frml logl = log(%MSVARProb(t))
nonlin(parmset=msparms) theta
nonlin(parmset=varparms) mu phiv sigmav

* initial values
compute gstart=1, gend=1275
@msvarinitial gstart gend
compute theta=%msplogistic(p)

* where the magic happens
@MSFilterInit
maximize(parmset=varparms+msparms, $
  start=%(p=%mslogisticp(theta),pstar=%MSVARInit()),$
  pmethod=simplex,piters=5,method=bfgs,iters=300,$
  robusterrors) $
logl gstart gend

* get standardized residuals and print them
@MSVARStdResiduals gstart gend ustd
print gstart gend ustd

* assess residual autocorrelation
@regcorrs ustd(1)