[R] Tracking time-varying objects with the DLM package (dynamic linear models in R)

Hello all, I am working with the dlm package, specifcially doing a dlm multivariate Y linear regression using dlmModReg and dlmFilter and dlmSmooth... I have altereted the inputs into dlmModReg to make them time-varying using JFF, JW etc. How do I track the results of the time varying system mat

Re: [R] Constraining parameters using tag() in SUR model - ZELIG

Arne, Thanks for the help. Ill make sure to cite systemfit along with Zelig. I cannot see how to constrain parameters based on the manual when there is more than 2 eqs using the M Matrix. I have 10 eqns with 6 parameters each and need to constrain all 6 across the 10 equations. For example B1s n

[R] Constraining parameters using tag() in SUR model - ZELIG

Hello all, I am following some standard code from Zelig manual when using a SUR (Seemingly Unrelated Regression Model) to constrain parameters across equations. Please see code below: setwd("C:/Research/Economics/SUR_FX/Model") # Seemingly Unrelated Regression # Load our library. library(Zelig)