I am new to using R as I usually use Stata. I want to estimate a state space model on some time series data with time varying coefficients. From what I have gathered this is not possible to do in Stata.
I have downloaded the dlm package in R and I am trying to run the dlmModReg command to regress my dependent variable on a single explanatory variable. I would like to allow the intercept and beta coefficient to vary over time.
If anyone could show me an example of the code I want to run I think that would be enough for me to work out how to do this. The examples I have found online are vague or use terminology that I am not familiar with as a new R user. Any help or comments are greatly appreciated.