[R] MS-VAR introduction

[matifou]

Actually there aren't by now  so many packages for markov regime switching
models in R but I just saw that at the userR 2009 conference a talk will be
held about it, maybe that can help you, though the authors don't mention
whether they use a existing package or developed new functionalities. 

http://www2.agrocampus-ouest.fr/math/useR-2009/abstracts/pdf/Fontdecaba_SanchezEspigares_Munoz.pdf

Matthieu

Dear Henrique,

I think that R is not actually the best statistical tool to model MS-VAR.
Indeed, the package msvar only allow a simple specification of the model.
One tool I have ever used is on Ox with the package MSVAR built by Krolzig.
This package allow a large variety of model specifications, you can choose
the number of regimes, the regime dependence etc. You could find more
details on his site:
http://www.krolzig.co.uk/index.html?content=/msvar.html
However, it would be of great interest to develop a package on R. Maybe
soon...

Best regards,

Sandrine Lunven
Economist
TAC financial
www.tac-financial.com




Dear R community,

I'm starting to learn the MS-VAR methodology and I would like to know what I
need to download (e.g. packages) to make MS-VAR estimations using R.

Best,
Henrique C. de Andrade
Doutorando em Economia Aplicada
Universidade Federal do Rio Grande do Sul
www.ufrgs.br/ppge

        [[alternative HTML version deleted]] 

Sandrine LUNVEN wrote:
> 
> Dear Henrique,
> 
> I think that R is not actually the best statistical tool to model MS-VAR.
> Indeed, the package msvar only allow a simple specification of the model.
> One tool I have ever used is on Ox with the package MSVAR built by
> Krolzig.
> This package allow a large variety of model specifications, you can choose
> the number of regimes, the regime dependence etc. You could find more
> details on his site:
> http://www.krolzig.co.uk/index.html?content=/msvar.html
> However, it would be of great interest to develop a package on R. Maybe
> soon...
> 
> Best regards,
> 
> Sandrine Lunven
> Economist
> TAC financial
> www.tac-financial.com
> 
> 
> 
> 
> Dear R community,
> 
> I'm starting to learn the MS-VAR methodology and I would like to know what
> I
> need to download (e.g. packages) to make MS-VAR estimations using R.
> 
> Best,
> Henrique C. de Andrade
> Doutorando em Economia Aplicada
> Universidade Federal do Rio Grande do Sul
> www.ufrgs.br/ppge
> 
> 	[[alternative HTML version deleted]]
> 
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
> http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
> 
> 

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