Thank you very much, you have been really kind. Thanks for the work you programmers do, the pymc library is something great. 
One last question, are there any examples of ARX/VARX models in pymc by any chance?
Speaking of statespace I am not very clear about the difference with in Markov switch type models. That is, instead of having two states the models with statespace have the parameters moving every t. Have I said something vaguely correct?