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I want to fit the following model to a time series:

$$ y_{t}=\alpha_{0}+\alpha_{1}y_{t-1}+\alpha_{2}y_{t-1}^{2}+\lambda h_{t}+\varepsilon_{t} $$

$$ h_{t}=\beta_{0}+\beta_{1}\varepsilon_{t-1}^{2}+\beta_{2}h_{t-1} $$

How can I do this with R or with any other statistical software?


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Sorry ... I missed the "non" in "non-linear" and the square ... I will delete my answer, it is not an answer to your question. – Richard Mar 8 '13 at 14:54

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