how to estimate var in multivariate state space

["马丹" <madan@mail.swufe.edu.cn>]

Dear sir:
   I am a user of splus.I have S+FinMetrics,which can run the state-space 
model.But I have some trouble when using it.I have a VAR model,and want to 
estimate it with state-space form,but the book "Modelling Financial Time Series 
with S-Plus" only gives the univariate state space model.  I don't know can  
S+FinMetrics deal with multivariate state space mode like VAR,could you can 
give me  a example   for it?

  thanks and happy new year!

  
　　　　
　　　　　　　　madan@mail.swufe.edu.cn
　　　　　　　　　　2005-12-27