[R] Re gression with time-dependent coefficients

dss dsstoffer at gmail.com
Mon Feb 11 03:12:01 CET 2008


There's an example in our text:  http://www.stat.pitt.edu/stoffer/tsa2 Time
Series Analysis and Its Applications  ... it's Example 6.12, Stochastic
Regression.  The example is about bootstrapping state space models, but MLE
is part of the example.  The code for the example is on the page for the
book... click on "R Code (Ch 6)" on the blue bar at the top.  When you get
to the Chapter 6 code page, scroll down to "Code to duplicate Example 6.12
[§6.7]".  


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