[R] State space models with regime switching

John P. Burkett burkett at uri.edu
Wed May 8 15:42:19 CEST 2013

On 05/06/2013 04:28 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.

Marc Lammerding et al., "Speculative bubbles in recent oil price 
dynamics: evidence from a Bayesian Markov-switching state-space 
approach," Energy Economics, v. 36 (2013) pp. 491-502 contains useful 
footnotes on R packages and functions.  The authors used the MCMCpack 
and dlm packages as well as the loess function in the stats packages.

If you find other useful packages, I would be interested in hearing 
about them.


I did a lot of searching, but I couldn't find
> anything.
> Thanks for your answers!
> David
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John P. Burkett
Department of Economics
University of Rhode Island
Kingston, RI 02881-0808

phone (401) 874-9195

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