Allows to estimate dynamic model averaging, dynamic model selection and median probability model. The original methods are implemented, as well as, selected further modifications of these methods. In particular the user might choose between recursive moment estimation and exponentially moving average for variance updating. Inclusion probabilities might be modified in a way using 'Google Trends'. The code is written in a way which minimises the computational burden (which is quite an obstacle for dynamic model averaging if many variables are used). For example, this package allows for parallel computations and Occam's window approach. The package is designed in a way that is hoped to be especially useful in economics and finance. Main reference: Raftery, A.E., Karny, M., Ettler, P. (2010) <doi:10.1198/TECH.2009.08104>.
Package details 


Author  Krzysztof Drachal [aut, cre] (Faculty of Economic Sciences, University of Warsaw, Poland) 
Maintainer  Krzysztof Drachal <kdrachal@wne.uw.edu.pl> 
License  GPL3 
Version  2.2.6 
URL  https://CRAN.Rproject.org/package=fDMA 
Package repository  View on CRAN 
Installation 
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