How to perform regression with random walk coefficients

[stasibab]

I just reply to my question because i found it, in the forecast section is should be smoothing and not dynamic!

Hope this helps someone else too!

[hychen]

I have a question about Auto-specification of State Space model. what is the difference between fixed and recursive coefficient? Given that recursive coefficient does not have a error term, it should be the same as fixed coefficient? why does the auto-specification separate regressor with fixed coefficient from regressors with recursive coefficient?

Thanks,

Hank