[R-SIG-Finance] methods from Kim/Nelson "State-Space Models with Regime Switching"

[Matthieu Stigler]

well something similar has been done and presdented at user R 2009,
but as I know stil under dev and not released on CRAN, but have a look
and maybe contact the author:s

Estimating Markov-Switching Regression Models in R: An application to
model energy price in Spain

http://www2.agrocampus-ouest.fr/math/useR-2009/slides/Fontdecaba+SanchezEspigares+Munoz.pdf

Mat

2009/8/13 Whit Armstrong <armstrong.whit at gmail.com>:
> Has anyone implemented the methods from the Kim/Nelson book:
> http://www.amazon.com/State-Space-Models-Regime-Switching-Gibbs-Sampling/dp/0262112388.
>
> Gauss programs here:
> http://www.econ.washington.edu/user/cnelson/markov/prgmlist.htm
>
> Any suggestions for existing packages would be welcome.
>
> So far, I see dse, dlm, MSVAR, and FKF.
>
> Thanks,
> Whit
>
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