These functions and procedures are fairly generic calculations for EM estimation in Markov Switching models. You need to use either @MSRegression (http://www.estima.com/forum/viewtopic.php?f=7&t=1208) or @MSSysRegression (http://www.estima.com/forum/viewtopic.php?f=7&t=1209) to set up the basic MS model as well and you need @MSSetup (http://www.estima.com/forum/viewtopic.php?f=7&t=1207) as well. (@MSVARSetup (http://www.estima.com/forum/viewtopic.php?f=7&t=512) has its own EM support procedures since Hamilton-style models with switching means are quite a bit more complicated).