Markov Switching VAR-Independent Variable

Hi,

I am running a Markov Switching model of a regression that has a dependent variable on the LHS of the regression equation and then lagged values of both the dependent variable and other independent variables on the LHS. I have been told to use MS VAR for this estimation. The problem is the code I have been using as a benchmark only implies a lag of the dependent variable on the RHS of the regression equation.

http://www.mathworks.com/matlabcentral/fileexchange/15789-msregress-a-package-for-markov-regime-switching-models-in-matlab/content/MS_Regress_FEX/Example_MS_Regress_Fit_MSVAR.m

I have also looked at the function MS-VAR fit but haven’t been able to figure out how to apply it correctly. Does anyone have any idea as to solving this problem? Any feedback would be greatly appreciated.

Thanks, Shane.