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
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--
John P. Burkett
Department of Economics
University of Rhode Island
Kingston, RI 02881-0808
USA
phone (401) 874-9195
______________________________________________
[email protected] mailing list
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PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
