[R] DLM - Covariates in the system equation

jens.keller at unisg.ch jens.keller at unisg.ch
Mon Dec 8 06:17:29 CET 2008

Is there a way to add covariates to the system equation in a time-varying 

Y[t] = F'[t]theta[t] + v[t], v[t] ~ N[0,V] #observation equation
theta[t]  = theta[t-1] + psi*Z[t] + w[t], w[t] ~ N[0,W] #system equation

While F[t] is a matrix of regressors to capture the short term effect on 
the response series Y,
Z[t] measures the long-term effect of either
(1) two policies by a step dummy or
(2) various policies with a continuous variable.

I appreciate any kind of help!
Thanks in advance!

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