Dear all, I am doing business cycle research on industry data. One of methods to identify cycle is Markov regime switching. As I see, there is a MSwM package for the purposes which is pretty straightforward to use. However, some questions for me remain: 1) Are there any packages? This is relevant because I could not couple with 2-3-4. 2) The MSwM package provides example for regression analysis (one of the steps is to provide regression model to msmFit). In my case I have time series. Googling issue shows that regressing on intercept is sufficient (i.e. 'time_data ~ 1') but I am not sure. 3) The package provides some diagnostic tools, mainly plotDiag (shows pooled residuals, QQ plot, residual acf). However, it does not provide tools to test a) that intercepts are same b) state variables are independent. Accepting respective null hypotheses is evidence against the model. How this can be done in R? 4) The package allows AR terms to be affected by unobservable state 's' through 'p' parameter. However, it is unclear when specification should include switching in coefficients (ok, it depends on use case, but what is general theory?). Thanks in advance, Best regards.