R help - Oct 2009 - how to fit time varying coefficient regression model?

Hi - I read through dse package manual a bit. I'm not quite certain
how I can use it to estimate a time varying coefficient regression
model? I might pick up an inappropriate package. Any suggestion would
be greatly appreciated. Thank you.

rh

Dear "rh",

You may take a look at package dlm. A vignette is included in the
documentation. 

Giovanni

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> Hi - I read through dse package manual a bit. I'm not quite certain
> how I can use it to estimate a time varying coefficient regression
> model? I might pick up an inappropriate package. Any suggestion would
> be greatly appreciated. Thank you.
> 
> rh
> 
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
> 
> 

-- 

Giovanni Petris  <GPetris at uark.edu>
Associate Professor
Department of Mathematical Sciences
University of Arkansas - Fayetteville, AR 72701
Ph: (479) 575-6324, 575-8630 (fax)
http://definetti.uark.edu/~gpetris/

R_help Help wrote:
> 
> Hi - I read through dse package manual a bit. I'm not quite certain
> how I can use it to estimate a time varying coefficient regression
> model? I might pick up an inappropriate package. Any suggestion would
> be greatly appreciated. Thank you.
> 
> 
> Just rewrite the linear regression model into state-space equations, and
> apply Kalman filtering. See Chapter 16 or 17 in our Analysing Ecological
> Data book. There will be packages in R that can do kalman filtering and
> smoothing
> 
> Alain
> 
> 
> 
> 
> 
> rh
> 
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
> http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
> 
> 

-----
--------------------------------------------------------------------
Dr. Alain F. Zuur
First author of:

1. Analysing Ecological Data (2007).
Zuur, AF, Ieno, EN and Smith, GM. Springer. 680 p.

2. Mixed effects models and extensions in ecology with R. (2009).
Zuur, AF, Ieno, EN, Walker, N, Saveliev, AA, and Smith, GM. Springer.

3. A Beginner's Guide to R (2009).
Zuur, AF, Ieno, EN, Meesters, EHWG. Springer


Statistical consultancy, courses, data analysis and software
Highland Statistics Ltd.
6 Laverock road
UK - AB41 6FN Newburgh
Email: highstat at highstat.com
URL: www.highstat.com



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