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The parameters of a vector autoregression are regarded as subjected to occasional discrete shifts. The probability law governing these shifts is also stated explicitly and presumed to exhibit dynamic behaviour of its own. The task is then to determine when the shifts occurred and to estimate parameters characterizing the different regimes and the probability law for the transition between regimes.    The expressions in this paper permit analytic derivatives of the sample log-likelihood function to be calculated quite trivially from the smoothed inferences about the unobserved regime. Adding more parameters requires no changes in the routine for calculating smoothed probabilities, and thus has essentially no effect on the computation time required to calculate the gradient. 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