diff --git a/tests/ms-dsge/test_ms_dsge.mod b/tests/ms-dsge/test_ms_dsge.mod
new file mode 100644
index 0000000000000000000000000000000000000000..ffd09e5966ef31aa5d0fbdb30216a2f87733a1c2
--- /dev/null
+++ b/tests/ms-dsge/test_ms_dsge.mod
@@ -0,0 +1,26 @@
+var y, c, k, a, h, b;
+varexo e, u;
+
+parameters beta, rho, alpha, delta, theta, psi, tau;
+
+alpha = 0.36;
+rho   = 0.95;
+tau   = 0.025;
+beta  = 0.99;
+delta = 0.025;
+psi   = 0;
+theta = 2.95;
+phi   = 0.1;
+
+model(use_dll);
+c*theta*h^(1+psi)=(1-alpha)*y;
+k = beta*(((exp(b)*c)/(exp(b(+1))*c(+1)))
+    *(exp(b(+1))*alpha*y(+1)+(1-delta)*k));
+y = exp(a)*(k(-1)^alpha)*(h^(1-alpha));
+k = exp(b)*(y-c)+(1-delta)*k(-1);
+a = rho*a(-1)+tau*b(-1) + e;
+b = tau*a(-1)+rho*b(-1) + u;
+end;
+
+markov_switching(chain=1, number_of_regimes=2, duration=2.5, parameters=[alpha, delta, theta], number_of_lags=1);
+alpha.prior(shape=gamma, mean=3.22);