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

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

Likelihood ratio based tests for regime switching

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

End-to-End Python implementation of Markov-Switching VAR framework for detecting endogenous financial fragility. Replicates Delli Gatti et al.'s (2025) methodology using EM algorithm, Hamilton filtering, and HP spectral decomposition to empirically test Minsky's Financial Instability Hypothesis in macroeconomic data.