MS-VAR Introduction

[Henrique Andrade]

Dear R community,

I'm starting to learn the MS-VAR methodology and I would like to know what I
need to download (e.g. packages) to make MS-VAR estimations using R.

Best,
Henrique C. de Andrade
Doutorando em Economia Aplicada
Universidade Federal do Rio Grande do Sul
www.ufrgs.br/ppge

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and provide commented, minimal, self-contained, reproducible code.

[Henrique Andrade]

Dear R community,

I'm starting to learn the MS-VAR methodology and I would like to know
what I need to download (e.g. packages) to make MS-VAR estimations
using R.

Best,
Henrique C. de Andrade
Doutorando em Economia Aplicada
Universidade Federal do Rio Grande do Sul
www.ufrgs.br/ppge

______________________________________________
[hidden email] 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.

[Sandrine LUNVEN]

Dear Henrique,

I think that R is not actually the best statistical tool to model MS-VAR.
Indeed, the package msvar only allow a simple specification of the model.
One tool I have ever used is on Ox with the package MSVAR built by Krolzig.
This package allow a large variety of model specifications, you can choose
the number of regimes, the regime dependence etc. You could find more
details on his site:
http://www.krolzig.co.uk/index.html?content=/msvar.html
However, it would be of great interest to develop a package on R. Maybe
soon...

Best regards,

Sandrine Lunven
Economist
TAC financial
www.tac-financial.com




Dear R community,

I'm starting to learn the MS-VAR methodology and I would like to know what I
need to download (e.g. packages) to make MS-VAR estimations using R.

Best,
Henrique C. de Andrade
Doutorando em Economia Aplicada
Universidade Federal do Rio Grande do Sul
www.ufrgs.br/ppge

        [[alternative HTML version deleted]]

______________________________________________
[hidden email] 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.

[Matthieu Stigler]

Actually there aren't by now  so many packages for markov regime switching models in R but I just saw that at the userR 2009 conference a talk will be held about it, maybe that can help you, though the authors don't mention whether they use a existing package or developed new functionalities.

http://www2.agrocampus-ouest.fr/math/useR-2009/abstracts/pdf/Fontdecaba_SanchezEspigares_Munoz.pdf

Matthieu

Dear Henrique,

I think that R is not actually the best statistical tool to model MS-VAR.
Indeed, the package msvar only allow a simple specification of the model.
One tool I have ever used is on Ox with the package MSVAR built by Krolzig.
This package allow a large variety of model specifications, you can choose
the number of regimes, the regime dependence etc. You could find more
details on his site:
http://www.krolzig.co.uk/index.html?content=/msvar.html
However, it would be of great interest to develop a package on R. Maybe
soon...

Best regards,

Sandrine Lunven
Economist
TAC financial
www.tac-financial.com




Dear R community,

I'm starting to learn the MS-VAR methodology and I would like to know what I
need to download (e.g. packages) to make MS-VAR estimations using R.

Best,
Henrique C. de Andrade
Doutorando em Economia Aplicada
Universidade Federal do Rio Grande do Sul
www.ufrgs.br/ppge

        [[alternative HTML version deleted]]

Sandrine LUNVEN wrote

Dear Henrique,

I think that R is not actually the best statistical tool to model MS-VAR.
Indeed, the package msvar only allow a simple specification of the model.
One tool I have ever used is on Ox with the package MSVAR built by Krolzig.
This package allow a large variety of model specifications, you can choose
the number of regimes, the regime dependence etc. You could find more
details on his site:
http://www.krolzig.co.uk/index.html?content=/msvar.html
However, it would be of great interest to develop a package on R. Maybe
soon...

Best regards,

Sandrine Lunven
Economist
TAC financial
www.tac-financial.com




Dear R community,

I'm starting to learn the MS-VAR methodology and I would like to know what I
need to download (e.g. packages) to make MS-VAR estimations using R.

Best,
Henrique C. de Andrade
Doutorando em Economia Aplicada
Universidade Federal do Rio Grande do Sul
www.ufrgs.br/ppge

        [[alternative HTML version deleted]]

______________________________________________
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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.

[Tayfur]

Can u help me how can i get impulse response function for msvar models in r programme???
thanks lots of
Best,
Tayfur

[John Kerpel]

Try the package vars.

On Wed, Aug 31, 2011 at 4:17 PM, Tayfur <[hidden email]> wrote:

> Can u help me how can i get impulse response function for msvar models in r
> programme???
> thanks lots of
> Best,
> Tayfur
>
> --
> View this message in context:
> http://r.789695.n4.nabble.com/MS-VAR-Introduction-tp896008p3782271.html
> Sent from the R help mailing list archive at Nabble.com.
>
> ______________________________________________
> [hidden email] 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.
>

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______________________________________________
[hidden email] 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.

[housy]

Anybody knows where I can find the MSVAR for ox package mentioned above? The websited is not working anymore :(