sw_dcf

<p>Stock and Watson Markov Switching Dynamic Common Factor Data Set</p>

datasets

'Rcpp' implementation of the multivariate Kim filter, which combines the Kalman and Hamilton filters for state probability inference.
The filter is designed for state space models and can handle missing values and exogenous data in the observation and state equations.
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

kimfilter

Kim Filter

sw_dcf function

<p>data.table with columns DATE, VARIABLE, VALUE, and MATURITY 
The data is monthly frequency with variables ip (industrial production), 
gmyxpg (total personal income less transfer payments in 1987 dollars), 
mtq (total manufacturing and trade sales in 1987 dollars), 
lpnag (employees on non-agricultural payrolls), and
dcoinc (the coincident economic indicator)</p>

sw_dcf: Stock and Watson Markov Switching Dynamic Common Factor Data Set

Description

Usage

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