That is interesting to hear; aren’t Bayesian State Space Models just (more or less) multi-level/hierarchical time-series models, but estimated with Bayesian methods?
Pymc3 can calculate time-series, and is more than flexible enough to handle hierarchical cross-sectional data models, so what is impossible with currently combining the two?
I would like to hear your thoughts on this, junpenglao, if you can spare just a moment.