Estimate State Space Models in Time Series Econometrics - Using R

This is an assignment that involves the estimation state space models for time series data. The steps outlined briefly below:

1. I have a dataset containing 5 variables: one is in quarterly frequency and the other 4 is in monthly frequency.

2. I have a set of matrices that builds the state space form of a dynamic factor model.

3. I would like to implement this model in R and extract the common factor.

The work would require expertise in state space models, Kalman filters and time series econometrics.

Mainly an advanced knowledge in R would be needed and understanding of KFAS package in R would be desirable.

I am happy to provide more details like a reference document once we begin discussing further.

Looking forward to collaborating!

Kemahiran: Statistik, Bahasa Pengaturcaraan R, Economics

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Tentang Majikan:
( 0 ulasan ) Zuid-Scharwoude, Netherlands

ID Projek: #32259849

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