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 [ยง6.7]".
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