I'm interested doing a dynamic factor model (DLM) similar to Doz, Giannone and Reichlin (2011) and Giannone, Reichlin and Small (2008). Moreover, I'm trying doing macroeconomic nowcasting model.
In other words, I would like to do the two-step estimator with R.
1) First estimate the principal components (PC) with OLS and record the coefficients.
(I have already done this step)
2) Then these coefficient should be used in Kalman smoothing, where one should get new factor estimates. And finally estimate these factors OLS.
However, the step 2 has proved to be difficult and elusive. I'm unable to find any simple R example for this kind of dynamic factor modelling. Therefore, I'm asking if anyone would kindly help me with this issue?
Thank you in advance!