I regress the yield bond spread (Y_t) on several independent variables (X_t). The betas follow a random walk path:

Y_t=X_t*b_t+e_t COV(e_t)=R (Diagonal)

b_t=b_(t-1) + n_t COV(n_t)=V (Unstructured)

Although, I use sparse data, where the number of observation varies from one time to the other (n_t), so the dimension of the R matrix varies.

Could this model be estimated in stata?

Thanks