State space modell with exogenous covariates; Kallman Filter

[deleted_user]

Hello
I would lije to know How with the procedures os ETS is posible to perform an state space models with exogenous covariates (Kallman filter)
(1) Y(t)=X*Z(t)+€
(2) Z(t)= B*(Z(t-1)+ M(t)+E

X: Vector of explaiden variables
M: Vector of exogenous covariates.
B: vector autoregresive.

I have been programing this problems using SAS/IML solving the basic linear space modelling, but is strong and long program, is posible to perform this using UCM or ARIMA procedures? I don't know how to specify the Z(t-1) and the vector M (t), and the estimates B.
Thnaks a lot for your help.
Rolando. Message was edited by: RolCor