Markov Switching Models for Statsmodels

Note: this code has been superseded by a rewritten Markov switching package implemented in Statsmodels. It will be available in Statsmodels version 0.8, or it can be used by installing the development version of Statsmodels. See the pull request.

Installation

1. Place in your project folder.

2. Compile the Cython filter using

   python setup.py build_ext --inplace