How do you specify Lagged variables within a State Space model?

2015 2 14
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更新时间：2015 2 14
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How can i specify the lagged variables within a measurement equation when estimating a state space model? My measurement equation is the of following form
Yt = a(Yt(-1) - Yt*(-1)) + b(Rt(-1) - Rt*(-1))
Yt* and Rt* are state variables. I intend to link these variables to the measurement equation with the SSM functions. I will be grateful for any feedbacks.

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