Estimating a one-factor model using the DLM package
Hi, I am trying to estimate a one-factor model of the spread y(t) between two interest rates y(t) = a + b*s(t) + u(t) s(t) = c*s(t-1) + v(t) using the DLM package in R. Is it possible to estimate the parameters a, b, c, and var(u(t)). Var(v(t)) = 1. I have EViews code for that and I want to replicate it using R. Hannu