[R-SIG-Finance] Estimating a one-factor model using the DLM package

[Hannu Kahra]

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

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