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Hi, I am studying Kalman Filter and it seems to be difficult for me to apply the filter on a simple ARMA. It is easy to construct the state-space model, for instance: dlmModARMA(ar=c(0.4,-0.2),ma=c(0.2,-0.1, sigma2=1) but applying the dlmFilter on it, it doesn't work... I don't know if my problem is clear but if anyone has already worked on Kalman filter, it could be great to advise me!

Dear R community, I'm starting to learn the MS-VAR methodology and I would like to know what I need to download (e.g. packages) to make MS-VAR estimations using R. Best, Henrique C. de Andrade Doutorando em Economia Aplicada Universidade Federal do Rio Grande do Sul www.ufrgs.br/ppge [[alternative HTML version deleted]]

Dear all, I have a matrix as follows: a=matrix(c(1,2,3,1,2,3,1,2,3,6,5,7,7,5,7,5,6,5,"Y", "N","Y","Y","N","Y", "N","Y","Y"),ncol=3) > a [,1] [,2] [,3] [1,] "1" "6" "Y" [2,] "2" "5" "N" [3,] "3" "7"