MarSwitching.jl: A Julia package for Markov switching dynamic models

MarSwitching.jl package allows users of the Julia programming language to efficiently use Markov switching dynamic models. It provides a set of tools for estimation, simulation, and forecasting of Markov switching models. This class of models is the principal tool for modelling time series with regime changes. The time-variation of model parameters is governed by the limited memory Markov process. Given the non-trivial nature of the likelihood function and the amount of model parameters, Julia is an ideal language for implementing this class of models due to its computational performance.