kalman filter for panel data

[oakoakoak]

Hi

now i'm use EViews5.1 for data analysis purpose.

and my problem is i must use kalman filter technique.

my model is nelson-siegel, this model try to estimate yield curve in term of 3 betas

so each observation i will have 19 datas for 19 maturities, and all i have 90 observations , it's look like panel data rigth?

my measurement equation is

Yield = F1*Beta1 + F2*Beta2 + F3*Beta3

(Yield, F1,F2,F3 is vary on maturities)

and the state equation is

Beta1 = Beta1(-1), AR(1)
Beta2 = Beta2(-1), AR(1)
Beta3 = Beta3(-1), AR(1)

How can i deal with this data? ( now i define data into panel data and try to forecast but it doesn't work well )