Hi
Indeed the tsDyn package implements two types of regime switching models,
where AR coefficients switch between two regimes, with abrupt transition
(setar) or smooth transition (lstar) from one regime to the other. Note
however that these are simply AR models in the standard form, not in the
state-space formulation.
Best
Matthieu
>Hello,
>
>Maybe package tsDyn. It implements SETAR and LSTAR models, among others.
>
>Hope this helps,
>
>Rui Barradas
>
>Em 06-05-2013 21:28, David Hoppe escreveu:
>> 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.
>>
>> Thanks for your answers!
>>
>> David
[[alternative HTML version deleted]]
______________________________________________
R-help@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.
