Simulate from DLM of West and Harrison (1999), as in Section 2 of Catania and Nonejad (2016).
1  SimulateDLM(iT, mX, vBeta0, mW, dV, dPhi)

iT 

mX 

vBeta0 

mW 

dV 

dPhi 

The function returns a list
of two elements: vY
and mBeta
. vY
is a iT
x 1 numeric
vector of simulated dependent variables. mBeta
is a matrix
of dimension iT x ncol(mX)
of regressor coefficients.
An object of the class list
.
Leopoldo Catania & Nima Nonejad
Catania, Leopoldo, and Nima Nonejad. "Dynamic Model Averaging for Practitioners in Economics and Finance: The eDMA Package." arXiv preprint arXiv:1606.05656 (2016).
West, Mike. Bayesian forecasting. John Wiley & Sons, Inc., 1999.
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