[R-sig-finance] VAR, VECM, Kalman, ... non-R software recommendations?

[Dirk Eddelbuettel]

I've been asked to run some 'modern' regressions: vector autoregression,
vector error correction, kalman filter, ...  

Of course, I'd love to do that in R and will probably end up writing some
code for it, but as the platitude goes, I 'need to hit the ground running'.
Last time I looked at Paul Gilbert's dse bundle, it promised most of this,
but felt somewhat cumbersome.  

Does anybody here have any particular recommendations, and in particular,
warnings about software like EViews, Rats, ... in this context ?

Thanks in advance,  Dirk

-- 
Those are my principles, and if you don't like them... well, I have others.
                                                -- Groucho Marx