Hello everyone, I'm new to this mailing list, but i hope this is the right place to post my question. I'm trying to do some time series analysis with state space models in R. So far I used the packages dse and dlm. I was wondering if there is a package, which allows for regime switching state space models. I did a lot of searching, but I couldn't find anything. Thanks for your answers! David
On May 6, 2013, at 1:28 PM, David Hoppe wrote:> Hello everyone, > > I'm new to this mailing list, but i hope this is the right place to > post my question. I'm trying to do some time series analysis with > state space models in R. So far I used the packages dse and dlm. I was > wondering if there is a package, which allows for regime switching > state space models. I did a lot of searching, but I couldn't find > anything. >I have teh sos-package loaded at the time os startup so I just typed: findFn("regime switching") found 34 matches; retrieving 2 pages 2 Downloaded 20 links in 6 packages. Looks like two packages are the most likely candidates: MSBVAR and MSwM I would guess , but have not checked, that these would have been mentioned in the Econometrics Task View. -- David Winsemius Alameda, CA, USA
Hello, Maybe package tsDyn. It implements SETAR and LSTAR models, among others. Hope this helps, Rui Barradas Em 06-05-2013 21:28, David Hoppe escreveu:> Hello everyone, > > I'm new to this mailing list, but i hope this is the right place to > post my question. I'm trying to do some time series analysis with > state space models in R. So far I used the packages dse and dlm. I was > wondering if there is a package, which allows for regime switching > state space models. I did a lot of searching, but I couldn't find > anything. > > Thanks for your answers! > > David > > ______________________________________________ > R-help at r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. >
Un texte encapsul? et encod? dans un jeu de caract?res inconnu a ?t? nettoy?... Nom : non disponible URL : <https://stat.ethz.ch/pipermail/r-help/attachments/20130508/0be1e7fc/attachment.pl>
On 05/06/2013 04:28 PM, David Hoppe wrote:> Hello everyone, > > I'm new to this mailing list, but i hope this is the right place to > post my question. I'm trying to do some time series analysis with > state space models in R. So far I used the packages dse and dlm. I was > wondering if there is a package, which allows for regime switching > state space models.Marc Lammerding et al., "Speculative bubbles in recent oil price dynamics: evidence from a Bayesian Markov-switching state-space approach," Energy Economics, v. 36 (2013) pp. 491-502 contains useful footnotes on R packages and functions. The authors used the MCMCpack and dlm packages as well as the loess function in the stats packages. If you find other useful packages, I would be interested in hearing about them. -John I did a lot of searching, but I couldn't find> anything. > > Thanks for your answers! > > David > > ______________________________________________ > R-help at r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. >-- John P. Burkett Department of Economics University of Rhode Island Kingston, RI 02881-0808 USA phone (401) 874-9195