Estimating Time Varying Parameters in R

nono · April 7th, 2004, 3:37 pm

I'm trying to figure out how to estimate time varying parameters (using a Kalman Filter) in a linear regression.The Kalman Filter is available in a few packages in R but nothing is said about the way to use it to estimate time varying coefficients.Does anyone know how to do that ?Any help appreciatedThanks

quantstudent19 · April 8th, 2004, 9:24 pm

HiI'm currently trying to solve exactly the same problem...Please let me know if you find a solutionThx