Description Usage Arguments Value

Dynamic factor model with Markov-switching states

1 | ```
dfmMS(X, J = 1, s = 2, p = 1, x0, P0)
``` |

`X` |
Data matrix (Txn) |

`J` |
Number of factors. Currently, only |

`s` |
Number of states. Only |

`p` |
Lag number for VAR model of factors |

`x0` |
Initial value for state |

`P0` |
Initial value for state covariance |

Return an estimator. Currently, it runs via a likelihood maximization an so is rather slow. Do not call it with large number of input variables or missing data. Some box constraints are currently to speed up the process, these are based on usual rationale for economic data.

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