state space model/dynamic factor model

[Emily89]

Hi.

I need to estimate the following state space model:

Y(t) = A*Y(t-1) + B*Z(t) + v(t)
Z(t) = D*Z(t-1) + e(t)

Z(t) is a vector of unobservable factors. Y(t-1) is the lag of Y(t).

A is a diagonal matrix:
a1, 0, 0
0, a2, 0
0, 0, a3

Assume that Y(t) is the GDP of the UK, France and Germany, respectively.
Do anyone know what is the code of this state space model?

Thank you so much for the help!

[Emily89]

Anyone could help?

I try but the result is strange. The Std.Error, Z-statistic and Prob are "NA".