SSmodel_ms: State space model for markov switching mean Creates a state...

In opendoor-labs/MarkovSwitchingDCF: Markov Switching Dynamic Common Factor Model using the Kim filter (Hamilton + Kalman filters)

Description

State space model for markov switching mean Creates a state space model in list form yt = At + Ht * Bt + e_t Bt = D_t + Ft * B_tl + u_t

Usage

SSmodel_ms(par, yt, n_states, ms_var = F, panelID = NULL,
  timeID = NULL)

Arguments

par	Vector of named parameter values
yt	Multivariate time series of data values
n_states	Number of states to include in the Markov switching model
ms_var,	Logical, T for Markow switching variance, default is F
panelID	Column name that identifies the cross section of the data
timeID	Column name that identifies the date

Value

List of space space matrices

Author(s)

Alex Hubbard ([e-mail])

Examples

SSmodel_ms(par = theta, yt = yt, n_states = 2, panelID = "panel", timeID = "date")

opendoor-labs/MarkovSwitchingDCF documentation built on Jan. 8, 2020, 12:24 p.m.