treasuries

datasets

'Rcpp' implementation of the multivariate Kalman filter for state space models that can handle missing values and exogenous data in the observation and state equations. There is also a function to handle time varying parameters.
Kim, Chang-Jin and Charles R. Nelson (1999) "State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications" <doi:10.7551/mitpress/6444.001.0001><http://econ.korea.ac.kr/~cjkim/>.

Alex Hubbard

kalmanfilter

Kalman Filter

treasuries function

<p>data.table with columns DATE, VARIABLE, VALUE, and MATURITY 
The data is quarterly frequency with variables DGS1MO, DGS3MO, DGS6MO, DGS1, 
DGS2, DGS3, DGS5, DGS7, DGS10, DGS20, and DGS30</p>

treasuries: Treasuries

Description

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