[R] State space models with regime switching

David Winsemius dwinsemius at comcast.net
Mon May 6 23:17:51 CEST 2013

On May 6, 2013, at 1:28 PM, David Hoppe wrote:

> Hello everyone,
> I'm new to this mailing list, but i hope this is the right place to
> post my question. I'm trying to do some time series analysis with
> state space models in R. So far I used the packages dse and dlm. I was
> wondering if there is a package, which allows for regime switching
> state space models. I did a lot of searching, but I couldn't find
> anything.

I have teh sos-package loaded at the time os startup so I just typed:

findFn("regime switching")
found 34 matches;  retrieving 2 pages
Downloaded 20 links in 6 packages.

Looks like two packages are the most likely candidates: MSBVAR and MSwM

I would guess , but have not checked, that these would have been mentioned in the Econometrics Task View.


David Winsemius
Alameda, CA, USA

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