[R] dynamic linear models in R

[Johann Hibschman]

Hi all,

I've just started working my way through Mike West and Jeff Harrison's
_Bayesian Forecasting and Dynamic Models_, and I was wondering if
there were any publically-available packages to handle dynamic linear
models, as they describe.

I found the "dynlm" package, but either I don't yet understand what's
going on or that package uses a different sense of the phrase "dynamic
linear model."  I would expect a fit of a dynamic linear model to
produce a time series of parameter estimates, not just single
coefficients as that function seems to generate.

Could anyone help me understand what's going on here?

Thanks,

Johann

P.S. What I really want to do is fit a linear regression of the form
dz_t ~ 0 + dx_t + dy_t, but where the coefficients of dx and dy are
allowed to slowly evolve over time.  DLMs seem appropriate to this,
but I'm open to any other suggestions, as I've not found much support
for DLMs in R.