Jouchi Nakajima
Time-varying parameter (TVP) models
Reference:
Nakajima, J. (2011) "Time-varying parameter VAR model with stochastic volatility: An overview of methodology and empirical applications" Monetary and Economic Studies, 29, 107-142.
TVP-VAR package: MCMC estimation for TVP-VAR models
tvpvar_ox.zip - for Ox
tvpvar_m.zip - for Matlab
TVP-R package: MCMC estimation for TVP regression models
tvpr_ox.zip - for Ox
tvpr_m.zip - for Matlab