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State Space Modeling Using SsfPack in S+FinMetrics 3.0

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  • Zivot, Eric W.

Abstract

This paper presents two illustrations of state space modeling in S-PLUS using the SsfPack 3.0 routines implemented in S+FinMetrics 3.0. The state space modeling functions in S+FinMetrics/SsfPack are extremely flexible and powerful and can be used for a wide variety of linear Gaussian state space models and for some non-linear and non-Gaussian state space models.

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  • Zivot, Eric W., 2011. "State Space Modeling Using SsfPack in S+FinMetrics 3.0," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 41(i05).
    • Handle: RePEc:jss:jstsof:v:041:i05
    DOI: http://hdl.handle.net/10.18637/jss.v041.i05
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    References listed on IDEAS

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    1. Kim, Chang-Jin, 1994. "Dynamic linear models with Markov-switching," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 1-22.
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