*
* Example 11.3.1, pp 510-512
*
open data m-fac9003.txt
calendar(m) 1990
data(format=free,org=columns) 1990:1 2003:12 aa age cat f fdx gm hpq kmb mel nyt pg trb txn sp
*
compute sv=0.1**2,seta=0.02**2,seps=0.04**2
*
* Note that the above values are quite far from the ones which maximize the
* likelihood. Note that the "C" matrix is actually a time-dependent formula, since
* it includes a reference to the series "sp"
*
dlm(y=gm,c=||1.0,sp||,sv=sv,sw=%diag(||seta,seps||),exact,type=smoothed) / xstates vstates
*
linreg gm
# constant sp
*
set tvbeta = xstates(t)(2)
graph(vgrid=%beta(2),footer="Smoothed estimates of time-varying betas")
# tvbeta