SSPACE : Linear model with time varying coefficients/parameters

[KEUN HYEONG, PARK]

My problem is that I am having difficulty specifying a
"State-Space Model with Stochastically Varying Coefficients".
Specifically, I am trying to estimate a linear model with time varying coefficients,
but I am unable to correctly structure the sspace command(especially state equation) to perform the estimation.
Additionally, the sspace section of the manual states that "sspace estimates linear state-space models with time-invariant coefficient matrices."
Am I attempting to do something that this procedure does not allow?

[Jorge Eduardo Perez Perez]

As you found out, Stata can not estimate a time varying coefficients model. See http://www.stata.com/statalist/archi.../msg00201.html

[wanhaiyou]

As you found out, Stata can not estimate a time varying coefficients model. See http://www.stata.com/statalist/archi.../msg00201.html

Hi, dear Jorge Eduardo Pérez Pérez,
Could you please give me an example about how to estimate multiple linear regression model within state-space model framework?
For example, I have dependent variable and eight independent variable (x1-x8).

Thanks very much

Bests,
wanhaiyou