R-beta: "Comparison of Mathematical Programs for Analysis"

Paul Gilbert pgilbert at bank-banque-canada.ca
Tue Sep 9 20:09:23 CEST 1997


Some corrections to Stefan Steinhaus'  "Comparison of Mathematical
Programs for Analysis" for R. These also apply for S and Splus.

The following are handled by my DSE library available on statlib and at
http://www.bank-banque-canada.ca/pgilbert. I will try to make the
version for R available shortly after R 0.50 is release as beta.

State-space models (m)
Kalman filter (m)
autoregressive models (m)
(and also autoregressive moving-average models and VAR models)
Numerical differentiation (m)
Cointegration models (m - models yes, but not yet cointegration tests )

The following can be done with an interface from my DSE library which
runs Troll (a commercially available product) from S or R and returns
the results.

Dynamic rational expectation models (m)
Linear rational expectation models (m)
Non-linear rational expectation models (m)

5.0 Data Import-Export
There is also an interface (used by my DSE library) which allows access
to Fame databases and potentially any other database supporting the PADI
protocol explained at the above mentioned web site.



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