It allows to estimate Dynamic Model Averaging, Dynamic Model Selection and Median Probability Model. The original methods (see References) are implemented, as well as, selected further modifications of these methods. In particular the User might choose between recursive moment estimation and exponentially moving average for variance updating. Inclusion probabilities might be modified in a way using Google Trends. The code is written in a way which minimises the computational burden (which is quite an obstacle for Dynamic Model Averaging if many variables are used). For example, this package allows for parallel computations under Windows machines. Additionally, the User might reduce a set of models according to a certain algorithm. The package is designed in a way that is hoped to be especially useful in economics and finance. (Research funded by the Polish National Science Centre grant under the contract number DEC-2015/19/N/HS4/00205.)

Documentation

Manual: fDMA.pdf
Vignette: None available.

Maintainer: Krzysztof Drachal <kdrachal at wne.uw.edu.pl>

Author(s): Krzysztof Drachal* (Faculty of Economic Sciences, University of Warsaw, Poland)

Install package and any missing dependencies by running this line in your R console:

install.packages("fDMA")

Depends
Imports doParallel, forecast, foreach, gplots, graphics, grDevices, iterators, MSwM, parallel, png, stats, utils, xts, zoo
Suggests
Enhances
Linking to
Reverse
depends
Reverse
imports
Reverse
suggests
Reverse
enhances
Reverse
linking to

Package fDMA
Materials
URL https://CRAN.R-project.org/package=fDMA
Task Views
Version 1.1
Published 2017-07-11
License GPL-3
BugReports
SystemRequirements
NeedsCompilation no
Citation
CRAN checks fDMA check results
Package source fDMA_1.1.tar.gz