Actually there aren't by now so many packages for markov regime switching models in R but I just saw that at the userR 2009 conference a talk will be held about it, maybe that can help you, though the authors don't mention whether they use a existing package or developed new functionalities.
http://www2.agrocampus-ouest.fr/math/useR-2009/abstracts/pdf/Fontdecaba_SanchezEspigares_Munoz.pdf Matthieu Dear Henrique, I think that R is not actually the best statistical tool to model MS-VAR. Indeed, the package msvar only allow a simple specification of the model. One tool I have ever used is on Ox with the package MSVAR built by Krolzig. This package allow a large variety of model specifications, you can choose the number of regimes, the regime dependence etc. You could find more details on his site: http://www.krolzig.co.uk/index.html?content=/msvar.html However, it would be of great interest to develop a package on R. Maybe soon... Best regards, Sandrine Lunven Economist TAC financial www.tac-financial.com 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]] Sandrine LUNVEN wrote: > > Dear Henrique, > > I think that R is not actually the best statistical tool to model MS-VAR. > Indeed, the package msvar only allow a simple specification of the model. > One tool I have ever used is on Ox with the package MSVAR built by > Krolzig. > This package allow a large variety of model specifications, you can choose > the number of regimes, the regime dependence etc. You could find more > details on his site: > http://www.krolzig.co.uk/index.html?content=/msvar.html > However, it would be of great interest to develop a package on R. Maybe > soon... > > Best regards, > > Sandrine Lunven > Economist > TAC financial > www.tac-financial.com > > > > > 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]] > > ______________________________________________ > R-help@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. > > -- View this message in context: http://www.nabble.com/MS-VAR-Introduction-tp24038825p24124803.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@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.
