[R] How to account for autoregressive terms?

Hi, how to estimate a the following model in R: y(t)=beta0+beta1*x1(t)+beta2*x2(t)+...+beta5*x5(t)+beta6*y(t-1)+beta7*y(t-2)+beta8*y(t-3) 1) using "lm" : dates <- as.Date(data.df[,1]) selection<-which(dates>=as.Date("1986-1-1") & dates<=as.Date("2007-12-31")) dep <- ts(data.df[selection,c("dep

[R] How to extract estimates, Std. Error, t Value and Pr(>|t|) from summary

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[R] Time varying regression coefficients

Hi, has anyone experience or an example how to setup a state space model for time varying regression coefficient estimates in R and how to get the filtered coefficient estimates. The model looks like y(t) = a(t)'*x(t)+u(t) where y(t) and x(t) are the obse