dfmMS: Dynamic factor model with Markov-switching states
In guilbran/dynfactoR: Dynamic factor model estimation for nowcasting
Description
Usage
Arguments
Value
Description
Dynamic factor model with Markov-switching states
Usage
1
dfmMS(X, J = 1, s = 2, p = 1, x0, P0)
Arguments
X
Data matrix (Txn)
J
Number of factors. Currently, only 1 is supported
s
Number of states. Only 2 are supported for now
p
Lag number for VAR model of factors
x0
Initial value for state
P0
Initial value for state covariance
Value
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.
guilbran/dynfactoR documentation built on May 8, 2019, 1:35 a.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Description Usage Arguments Value
Description
Dynamic factor model with Markov-switching states
Usage
1 | dfmMS(X, J = 1, s = 2, p = 1, x0, P0)
|
Arguments
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 |
Value
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.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.