Has anyone implemented the methods from the Kim/Nelson book: http://www.amazon.com/State-Space-Models-Regime-Switching-Gibbs-Sampling/dp/0262112388. Gauss programs here: http://www.econ.washington.edu/user/cnelson/markov/prgmlist.htm Any suggestions for existing packages would be welcome. So far, I see dse, dlm, MSVAR, and FKF. Thanks, Whit
methods from Kim/Nelson "State-Space Models with Regime Switching"
2 messages · Whit Armstrong, Matthieu Stigler
well something similar has been done and presdented at user R 2009, but as I know stil under dev and not released on CRAN, but have a look and maybe contact the author:s Estimating Markov-Switching Regression Models in R: An application to model energy price in Spain http://www2.agrocampus-ouest.fr/math/useR-2009/slides/Fontdecaba+SanchezEspigares+Munoz.pdf Mat 2009/8/13 Whit Armstrong <armstrong.whit at gmail.com>:
Has anyone implemented the methods from the Kim/Nelson book: http://www.amazon.com/State-Space-Models-Regime-Switching-Gibbs-Sampling/dp/0262112388. Gauss programs here: http://www.econ.washington.edu/user/cnelson/markov/prgmlist.htm Any suggestions for existing packages would be welcome. So far, I see dse, dlm, MSVAR, and FKF. Thanks, Whit
_______________________________________________ R-SIG-Finance at stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. -- If you want to post, subscribe first.