search for: tp15315302p15404399

Hi, I was wondering if someone might be willing to indulge a question about R and the estimation of a linear regression with time-varying coefficients. The model I am trying to estimate is of the form: y(t) = beta(t) * x(t) + v(t) beta(t) = gamma * beta(t-1) + w(t) where gamma is a constant, v(t) and w(t) are Gaussian innovations, and where y(t) and x(t) are univariate time series that are