Re: [R] State space models with regime switching

2013-05-08 Thread John P. Burkett
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,

Re: [R] State space models with regime switching

2013-05-07 Thread Matthieu Stigler
Hi Indeed the tsDyn package implements two types of regime switching models, where AR coefficients switch between two regimes, with abrupt transition (setar) or smooth transition (lstar) from one regime to the other. Note however that these are simply AR models in the standard form, not in the sta

Re: [R] State space models with regime switching

2013-05-06 Thread Rui Barradas
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 ana

Re: [R] State space models with regime switching

2013-05-06 Thread David Winsemius
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 the

[R] State space models with regime switching

2013-05-06 Thread David Hoppe
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 spac