[R] Kalman Filter Estimation

[Patrick]

Dear R users,

I am a new R user and not very experienced in Statistics. I would like to
regress a time series variable y on several other time series variables x. I
read that the Kalman Filter would provide me with a better fit for my
estimation. However, I have no idea how to translate this simple regression
into a State-Based Model and how to do the estimation of the regression
parameters with R. I hope that somebody can help me.

Kind Regards,
Patrick

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